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Re: st: How to generate a table with the outcomes of unit-root tests from unbalanced panel?
From
Yuval Arbel <[email protected]>
To
[email protected]
Subject
Re: st: How to generate a table with the outcomes of unit-root tests from unbalanced panel?
Date
Fri, 18 Nov 2011 07:52:56 +0200
I believe what I need is to construct a macro with -foreach- command
and for each appt number to carry out the -dfuller- command.
However, I don't know how exactly to construct such a macro. Can you assist me?
On Thu, Nov 17, 2011 at 5:58 PM, Austin Nichols <[email protected]> wrote:
> Yuval Arbel <[email protected]>:
> I doubt you really want -dfuller- output. You should read at minimum:
> http://www.econ.cam.ac.uk/faculty/pesaran/lm.pdf
> http://www.econ.cam.ac.uk/faculty/pesaran/wp11/Interpretation-Panel-Unit-September-2011.pdf
> and see especially the lit review in the second for recent work.
>
> On Thu, Nov 17, 2011 at 10:05 AM, Muhammad Anees <[email protected]> wrote:
>> -Dfuller- runs regression where the Z(t) is the coefficient of the
>> estimated lagged Dep.Var with D.(Dep.Var) as the dependent variable.
>> Using the estout option after the regress command could do what you
>> want.
>>
>> example is give from my results
>> energyusekt | Coef. Std. Err. t P>|t| [95% Conf. Interval]
>> -------------+----------------------------------------------------------------
>> energyusekt |
>> L1. | .0349052 .0078295 4.46 0.000 .018976 .0508345
>> |
>> _cons | 384.8409 365.0711 1.05 0.299 -357.9018 1127.584
>> ------------------------------------------------------------------------------
>>
>> . estimates store a
>>
>> . esttab
>>
>> ----------------------------
>> (1)
>> D.energyus~t
>> ----------------------------
>> L.energyus~t 0.0349***
>> (4.46)
>>
>> _cons 384.8
>> (1.05)
>> ----------------------------
>> N 35
>> ----------------------------
>> t statistics in parentheses
>>
>> Now using other Stata tools, it can easily be exported.
>> regress d.energyusekt l.energyusekt
>> On Thu, Nov 17, 2011 at 7:49 PM, Yuval Arbel <[email protected]> wrote:
>>> Dear statalist participants,
>>>
>>> I have an unbalanced panel of apartments, which contains 9,547 apartments.
>>>
>>> I ran the following commands:
>>>
>>> . tsset t
>>> time variable: t, 1 to 507798
>>> delta: 1 unit
>>>
>>> . dfuller reduct_per if appt==2851
>>>
>>> Dickey-Fuller test for unit root Number of obs = 27
>>>
>>> ---------- Interpolated Dickey-Fuller ---------
>>> Test 1% Critical 5% Critical 10% Critical
>>> Statistic Value Value Value
>>> ------------------------------------------------------------------------------
>>> Z(t) -0.891 -3.736 -2.994 -2.628
>>> ------------------------------------------------------------------------------
>>> MacKinnon approximate p-value for Z(t) = 0.7910
>>>
>>> . dfuller reduct_per if appt==2862
>>>
>>> Dickey-Fuller test for unit root Number of obs = 37
>>>
>>> ---------- Interpolated Dickey-Fuller ---------
>>> Test 1% Critical 5% Critical 10% Critical
>>> Statistic Value Value Value
>>> ------------------------------------------------------------------------------
>>> Z(t) -6.784 -3.668 -2.966 -2.616
>>> ------------------------------------------------------------------------------
>>> MacKinnon approximate p-value for Z(t) = 0.0000
>>>
>>> . dfuller reduct_per if appt==2906
>>>
>>> Dickey-Fuller test for unit root Number of obs = 94
>>>
>>> ---------- Interpolated Dickey-Fuller ---------
>>> Test 1% Critical 5% Critical 10% Critical
>>> Statistic Value Value Value
>>> ------------------------------------------------------------------------------
>>> Z(t) -1.313 -3.518 -2.895 -2.582
>>> ------------------------------------------------------------------------------
>>> MacKinnon approximate p-value for Z(t) = 0.6233
>>>
>>> . dfuller reduct_per if appt==2907
>>>
>>> Dickey-Fuller test for unit root Number of obs = 103
>>>
>>> ---------- Interpolated Dickey-Fuller ---------
>>> Test 1% Critical 5% Critical 10% Critical
>>> Statistic Value Value Value
>>> ------------------------------------------------------------------------------
>>> Z(t) -2.647 -3.509 -2.890 -2.580
>>> ------------------------------------------------------------------------------
>>> MacKinnon approximate p-value for Z(t) = 0.0836
>>>
>>> Now, I would like to produce a table where for each apartment I attach
>>> the full output of dfuller
>>>
>>> I wonder, how can I produce such a table in a way that it can be
>>> exported in xls. or csv. formats:
>>>
>>> I thank you in advance for your assistance.
>
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>
--
Dr. Yuval Arbel
School of Business
Carmel Academic Center
4 Shaar Palmer Street, Haifa, Israel
e-mail: [email protected]
*
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