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st: RE: [question on -kpss-]
From
Nick Cox <[email protected]>
To
"'[email protected]'" <[email protected]>
Subject
st: RE: [question on -kpss-]
Date
Tue, 22 Mar 2011 21:12:54 +0000
. search kpss
reveals
SJ-6-3 sts15_2 . . . . . . . . . . . . . . . . . . . Software update for kpss
(help kpss if installed) . . . . . . . . . . . . . . . . . C. F. Baum
Q3/06 SJ 6(3):433
rewritten for compatibility with Stata 8.2 syntax and may
now be applied to one time series of a panel or to all time
series within a panel using the by: prefix
SJ-5-1 st0080 . . . Stata: The language of choice for time-series analysis?
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . C. F. Baum
Q1/05 SJ 5(1):46--63 (no commands)
discusses the use of Stata for the analysis of time series
and panel data.
STB-58 sts15.1 . . . . . . . Tests for stationarity of a time series: update
(help dfgls, kpss if installed) . . . . . . C. F. Baum and R. Sperling
11/00 pp.35--36; STB Reprints Vol 10, pp.360--362
bug fixes and enhancements
STB-57 sts15 . . . . . . . . . . . . Tests for stationarity of a time series
(help dfgls, kpss if installed) . . . . . . . . . . . . . . C. F. Baum
9/00 pp.36--39; STB Reprints Vol 10, pp.356--360
provides the Elliott-Rothenberg-Stock DF-GLS test and the
Kwiatkowski-Phillips-Schmidt-Shin KPSS tests for stationarity
of a time series
So, if this is what you want, you should install it from SJ 6-3 files. I don't know what you mean by "impeded" here ("included"?) but as this is a user-written command, you shouldn't expect to find it through official Stata's menus.
On Dickey-Fuller, the help for -dfuller- indicates no such option.
Notes: Please
provide a subject for your question
spell "Stata" correctly
give proper references to software commands as requested in the FAQ.
Nick
[email protected]
Max Fotbollen
I wonder if it is possible to run KPSS test at all in STATA, and whether it is impeded in Statistics menu. I found some old discussion around this issue for older version of STATA, suggesting updating.
Also I have another question regardning optimal choice of lag in Augmented DickyFuller test. Is it possible to ask for automatic optima choice of lag number?
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