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Re: st: ADF tests

From   "Dev Vencappa" <[email protected]>
To   <[email protected]>
Subject   Re: st: ADF tests
Date   Tue, 14 Oct 2003 15:40:31 +0100

Stata users, I have a simple problem that I am sure you will be able to solve. I have a panel of 20 firms over a period of 18 years. For each firm, I have four variables for which I want to run an ADF test on each of these firms. In so doing, I have computed the optimal lag length for each firm for each variable. My problem now is to be able to ask stata to read the optimal lag length for each firm for each variable and run the test. I am  looking for something like this:

forvalues x=1/20{
dfuller var1, lags(optimal)

this is where my problem is. How do I store these optimal lag length and ask stata to fill it in the lag(??) for each company when writing my loop?

Any suggestion welcome.

Many thanks


Dev Vencappa
School of Economics
University of Nottingham
University Park
Tel : +44 (0)115 951 5608
Fax: +44 (0) 115 951 4159

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