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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 21:00:55 +0100

Ok thanks very much to the both of you.  I understand what's going on
now.  I'll attempt to use the business calendar.

Thank you,

Alex

On Thu, Aug 16, 2012 at 8:36 PM, Nick Cox <njcoxstata@gmail.com> wrote:
> In addition to Mark's authoritative reply -- he is the author of
> -egranger- -- I would assert that there are no puzzles evident here.
>
> -tsset- does not cut out observations; it merely registers what you
> tell it and makes that information available to programs that need
> information on the structure of your time series.
>
> Plain regressions play no attention to the spacing of the data or
> indeed their time series aspect.
>
> -egranger- will not drop a "random number of observations" in either a
> technical or a non-technical sense.
>
> If for example your data run ..., Friday, Monday, ... then the
> previous value for Monday is necessarily missing (meaning here, not
> present in your data). Business calendars would presumably reduce this
> problem.
>
> Nick
>
> On Thu, Aug 16, 2012 at 7:56 PM, Alex Letko <aletko1@gmail.com> wrote:
>> 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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