Ernest, Nick
many thanks to you both for your solutions which work finely. I have rewritten the command to accomodate my dataset based on what one of you suggested as follows:
local z "netprem disclm elr solv"
foreach k of local z{
forvalues x=1/19{
preserve
keep if comcode==`x'
tsset year
postfile myhandledf comcode dfstat`k' using "c:\unitroot\dfunitrootlag`k'comp`x'", replace
summ AICoptlag`k' if comcode==`x', mean
dfuller `k', lags(`r(mean)') reg
scalar DFSTAT`k'=r(Zt)
post myhandledf (`x') (DFSTAT`k')
postclose myhandledf
restore
}
postutil clear
}
Above seems to be doing exactly what I wanted it to do.
Many thanks
Dev
Dev Vencappa
School of Economics
University of Nottingham
University Park
Nottingham
NG7 2RD
U.K.
Tel : +44 (0)115 951 5608
Fax: +44 (0) 115 951 4159
>>> [email protected] 10/15/03 12:59 PM >>>
At 13:19 15-10-2003, Dev Vencappa wrote:
>I have a data set that looks like the following
>
>company year var1 var2 var3 var4 optlagvar1 optlagvar2 optlagvar3
>optlagvar4
>1 1980 1
>1 1981 1
>1 1982 1
>.. ..
>1 2002 1
>2 1980 3
>2 1981 3
>2 1982 3
>.. ..
>2 2002
>... ...
>... ...
>20 1980 6
>20 1981 6
>20 1982 6
>.. ..
>20 2002
>
>
>The variable optlagvar1 for instance is the optimal lag value from an
>Akaike Information criteriaon exercise for each company. My problem is I
>now want to implement the DF test for each company and each variable,
>writing something like:
>
>local z "var1 var2 var3 var4"
>foreach k of local z{
>forvalues x=1/20{
>dfuller `k', lags(optlag`k')
>}
>}
>
>My problem is I cannot get stata to read the optimal lags value for the
>option lags, as this has to be specified as a numeric variable. Is there a
>way I can ask stata to do this loop and correctly specify the values in
>the lags option for the dfuller test?
You need to parrallel loops, one over company and one over optlag`k', and
that block within a loop over your k variables. So your first two lines are
OK, although they might be telescoped into one line, check if there are no
other variables starting with "var": (foreach k of varlist var*) or
(foreach k of varlist var1-var4) or (foreach k of varlist var?).
But then, you want to loop over companies (forvalues x=1/20) as well as
over the accompanying optlag`x'. The problem howver is that specifying
"dfuller `k', lags(optlag`k')" does not work, as the number of lags cannot
be specified as a varname but should be an integer value. So you only have
to create a routine that translates the respective values of optlag`k' to a
scalar.
Note that this variable optlag`x' is a constant within the variable company.
Following your approach, I would probably come up with something like:
foreach var of varlist var1-var4 {
forvalues x=1/20 {
summ optlag`var' if company==`x' , mean
dfuller `var', lags(`r(mean)') if company==`x'
}
}
It might even be worth the effort to look at the command dfgls. If that
produces the optimal number of lags for you, you can acces that number
directly as well, in `r(optlag)' or `r(maiclag)' for instance.
Ernest Berkhout
SEO Amsterdam Economics
University of Amsterdam
Room 3.08
Roetersstraat 29
1018 WB Amsterdam
The Netherlands
tel.:+ 31 20 525 1657
fax:+ 31 20 525 1686
http://www.seo.nl
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