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Re: st: Test for stationarity/non-stationarity and optimal lag structure


From   Prakash Singh <prakashbhu@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Test for stationarity/non-stationarity and optimal lag structure
Date   Thu, 19 Apr 2012 22:33:40 +0530

Dear Johns
If you carefully look at the econometric side of test you will find
that the variable for which you are testing dfgls is the dependent
variable some how and then lag order is basically the lags of in
predictor side of that equation basically taking care of
autocorrelation.
if the results tells you that the series is non stationary then it
means you have to test first differenced series for stationarity.


Prakash

On Thu, Apr 19, 2012 at 2:16 AM, Johns Waldow <JohnsW@gmx.de> wrote:
> Stata/MP 11.1 Windows
>
> Hello everybody,
>
>
> I'm a Stata beginner. I have an time series regression with multiple
> predictors (8, including lags of the dependent variable). I need to test for
> stationarity and the optimal lag structure. Naturally I start with testing
> for stationarity. If I type -- dfgls inf - I receive optimal lag orders
> according to Ng-Perron, SC and MAIC with regards to inf and the DF-GLS Test
> Statistic. I'm wondering how Stata can give me the optimal lag order if
> Stata doesn't know the dependent variable.
>
> 1. Shouldn't I tell Stata what my dependent variable is so that I can get
> the optimal lag order with regards to my dependent variable using - dfgls
> [varname] --?
> 2. When I use -- dfgls inf - Stata gives me lag orders which are not even
> stationary. Does that mean I can use the suggested lag order but I have to
> detrend/differentiate the series once more? If so, than again how can Stata
> give me the lag order without knowing about my dependent variable?
>
> Thank you so much!
>
> Best regards
>
> Johns Waldow
>
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