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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? > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**References**:**st: Getting the 'egranger' command to use the entire sample***From:*Alex Letko <aletko1@gmail.com>

**Re: st: Getting the 'egranger' command to use the entire sample***From:*Nick Cox <njcoxstata@gmail.com>

**Re: st: Getting the 'egranger' command to use the entire sample***From:*Alex Letko <aletko1@gmail.com>

**Re: st: Getting the 'egranger' command to use the entire sample***From:*Nick Cox <njcoxstata@gmail.com>

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