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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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