st: Re: problem with foreach in Stata 10.1

[Christopher Baum <baum@bc.edu>]

< >
All good advice, but from a time series econometrics perspective,  
first-generation unit root tests such as -dfuller- and -pperron- are  
deprecated in favor of more powerful tests such as -dfgls-  
(disclaimer: I am one of the original coauthors (with Richard  
Sperling) of -dfgls- (STB57, STB58, freely available from http://ideas.repec.org/s/tsj/stbull.html) 
. As demonstrated empirically in the talk
http://ideas.repec.org/p/boc/asug07/7.html

the augmented Dickey-Fuller test has very low power compared to the DF- 
GLS of Elliott, Rothenberg, Stock. An additional advantage is that - 
dfgls- automatically runs for a number of lag orders and provides a  
sophisticated selection criterion, due to Ng and Perron, which is  
superior to AIC/BIC. For instance
webuse lutkepohl
dfgls invest, maxlag(12)

Kit Baum, Boston College Economics and DIW Berlin
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html

On Nov 18, 2008, at 2:33 AM, Brian wrote:

> - -dfuller- is an r-class command, but prior to Stata 10 it had been  
> leaving
> behind regression results in the e-class macros.  In general, r-class
> commands should not affect any estimation results the user has lying
> around, so in Stata 10 we modified -dfuller- to back up and restore  
> the
> user's prior estimation results.
>
> In Joao Ricardo's example using Stata 10.1, his -estat ic- results are
> always showing the results for the first call to -dfuller-;  
> presumably he
> did not do any estimation before calling -dfuller-, since in that case
> - -dfuller- did not see any estimation results that it needed to  
> back up and
> restore.  In fact, -dfuller- should not be saving e-class results in  
> that
> case, either; we will address that in an ado-file update.
>
> Using -estat ic- in conjunction with -dfuller- to choose the optimal
> number of lags to include might at first blush seem like a good idea.
> However, looking at his results using Stata 9 reveal a problem: the  
> sample
> size used in each case depends on the number of lags specified with
> - -dfuller-.  When using an information criterion to select the lag  
> order,
> you should restrict the estimation sample to the subset of  
> observations
> that can be used with the maximum number of lags you wish to consider.
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