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Re: st: Getting the 'egranger' command to use the entire sample


From   Nick Cox <njcoxstata@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Getting the 'egranger' command to use the entire sample
Date   Thu, 16 Aug 2012 18:35:54 +0100

-tsset- in terms of observation number will ignore gaps in the dates,
whereas -tsset- in terms of actual dates won't. I don't think you
should point a finger at -egranger- (SSC) unless you know that this
isn't a consequence of your data, e.g. no observations for days in
which there was no business.

As you found -if tin(...)- won't make a difference here.

Nick

On Thu, Aug 16, 2012 at 6:25 PM, Alex Letko <aletko1@gmail.com> wrote:

> The egranger command will not run the Engle-Granger 2-step
> cointegration test accross my entire sample.  My sample consists of
> 3130 observations.  It only runs the test up to observation 2443, as
> shown in the output below:
>
> *****************************************
> . egranger lnHH lnNBP
> Replacing variable _egresid...
>
> Engle-Granger test for cointegration                  N (1st step)  =     3130
>
> N (test)      =     2443
> ------------------------------------------------------------------------------
>                   Test         1% Critical       5% Critical      10% Critical
>                Statistic           Value             Value             Value
> ------------------------------------------------------------------------------
>  Z(t)             -2.424            -3.432            -2.862            -2.567
>
> Critical values from MacKinnon (1990, 2010)
> *****************************************
>
> As you can see, the 1st step regression is done with the entire
> sample, while the second step is only done with 2443 observations.
> This only happens after I tsset my data according to the actual dates
> of my dataset.  Like this:
>
> gen Date=date(date1, "DMY")
> format Date %td
> tsset Date
>
> When I only tsset not according to the date, like this:
>
> gen time=_n
> tsset time
>
> it works fine and uses all the observations in the first step and 3129
> in the second step.
>
> I try to outsmart Stata by using the "tin" command, like so:
>
> egranger lnHH lnNBP if tin(07sep1999, 03jul2012)
>
> but I get the same exact results as the output above.
>
> Is there a way of getting egranger to use the entire sample in the second step?
>
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