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


From   Alex Letko <aletko1@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Getting the 'egranger' command to use the entire sample
Date   Thu, 16 Aug 2012 19:56:42 +0100

Hi Nick,

Thanks for your reply.  That must be the issue.  There are indeed gaps
in the data. But, I don't see why -tsset- in terms of the actual dates
would actually cut out any of the observations.  The total number of
observations, not counting any gaps, is 3130.  And for each point in
time there is an observation.  (there are no blanks from 1 to 3130;
they have all already been dropped).  So why would I get a random
number of observations dropped in the egranger command, considering
that routine regressions come out just fine?

Thanks,

Alex

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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