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


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: Getting the 'egranger' command to use the entire sample
Date   Thu, 16 Aug 2012 20:06:37 +0100

Alex,

As Nick suggest, the discrepancy is probably the result of gaps in your
time series data.  The 1st-step E-G regression is unaffected by gaps in
the data and so can use all observations available, but because the 2nd
step uses lags, gaps in the data will reduce the number of available
observations.  You can check for yourself by running the E-G regressions
by hand - see the example in the egranger help file.

HTH,
Mark

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-
> statalist@hsphsun2.harvard.edu] On Behalf Of Nick Cox
> Sent: 16 August 2012 18:36
> To: statalist@hsphsun2.harvard.edu
> Subject: Re: st: Getting the 'egranger' command to use the entire
sample
> 
> -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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> *   http://www.stata.com/support/statalist/faq
> *   http://www.ats.ucla.edu/stat/stata/


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