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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 18:38:02 +0100

Also, check out business calendars in Stata.

http://www.stata.com/stata12/business-calendars/

On Thu, Aug 16, 2012 at 6:35 PM, Nick Cox <njcoxstata@gmail.com> wrote:
> -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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