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Re: st: RE:outreg with dickey fuller


From   "David M. Drukker" <[email protected]>
To   [email protected]
Subject   Re: st: RE:outreg with dickey fuller
Date   Fri, 10 Oct 2003 08:07:38 -0500 (CDT)

Dev Vencappa <[email protected]> wrote that -dfuller- was producing
an error message when both the lags() and the -trend- options were
specified. Specifically, he wrote that

> dfuller netpremmean, lags(1) trend reg
 
produced the  message: 

> variable __000001 not found

I am unable to reproduce this problem.  The output below contains an example
in which -dfuller- works fine.


-------------------------Begin example-------------------------------------
. use http://www.stata-press.com/data/r8/lutkepohl 
(Quarterly SA West German macro data, Bil DM, from Lutkepohl 1993 Table E.1)

. dfuller investment , lags(1) trend reg

Augmented Dickey-Fuller test for unit root         Number of obs   =        90

                               ---------- Interpolated Dickey-Fuller ---------
                  Test         1% Critical       5% Critical      10% Critical
               Statistic           Value             Value             Value
------------------------------------------------------------------------------
 Z(t)             -1.855            -4.062            -3.460            -3.156
------------------------------------------------------------------------------
* MacKinnon approximate p-value for Z(t) = 0.6773

------------------------------------------------------------------------------
D.investment |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
investment   |
          L1 |  -.0732631   .0394862    -1.86   0.067     -.151759    .0052327
          LD |  -.0095236   .1072537    -0.09   0.929     -.222737    .2036898
_trend       |   .6089729   .3123059     1.95   0.054    -.0118707    1.229816
_cons        |   13.50495   5.932406     2.28   0.025     1.711718    25.29818
------------------------------------------------------------------------------
-------------------------End example-------------------------------------


I would like to suggest that Dev update his Stata by typing 

. update all

and then rerunning his example.  If there is still a problem, I would
appreciate it if Dev, could e-mail me privately with an example in which
-dfuller- fails.

        --David
	[email protected]

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