Bookmark and Share

Notice: On March 31, it was announced that Statalist is moving from an email list to a forum. The old list will shut down at the end of May, and its replacement, statalist.org is already up and running.


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

Re: Re: Re: st: RE: dfuller: why do I get different results?


From   Yuval Arbel <yuval.arbel@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: Re: Re: st: RE: dfuller: why do I get different results?
Date   Sat, 19 Nov 2011 18:44:20 +0200

pacf of all of them showed that all the examined series are I(1) -
including those for which the unit root hypothesis was rejected

On Sat, Nov 19, 2011 at 5:42 PM, Christopher Baum <kit.baum@bc.edu> wrote:
> <>
>
> I still need the formal statistical test - for a research paper a
> general plot will not be sufficient.
>
> BTW: I just ran manually the first 10 panels. It is not a
> representative sample, but as you can see below indeed, in most of
> them the unit-root hypothesis was not rejected at the 1% significance
> level:
>
> Unit root tests have notoriously low power with < 100 observations -- that's why we have panel unit root tests.
> Three rejections at 5% out of 10 samples suggests that "most" might be I(1), but then a df test with no constant nor trend is a queer bird indeed. The process you are modeling has to make sense under both null and alternative hypotheses for the test to be valid. A bit of algebra shows that a DF regression without a constant implies that the mean of Y is the mean of epsilon == 0 under the alternative hypothesis of stationarity. If your data in levels do not have a mean of zero, this model is incapable of reproducing the data with any choice of ]beta < 0, and so the test is flawed.
>
> Kit
>
> Kit Baum   |   Boston College Economics & DIW Berlin   |   http://ideas.repec.org/e/pba1.html
>                             An Introduction to Stata Programming  |   http://www.stata-press.com/books/isp.html
>  An Introduction to Modern Econometrics Using Stata  |   http://www.stata-press.com/books/imeus.html
>
>
> *
> *   For searches and help try:
> *   http://www.stata.com/help.cgi?search
> *   http://www.stata.com/support/statalist/faq
> *   http://www.ats.ucla.edu/stat/stata/
>



-- 
Dr. Yuval Arbel
School of Business
Carmel Academic Center
4 Shaar Palmer Street, Haifa, Israel
e-mail: yuval.arbel@gmail.com

*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/


© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   Site index