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From | Muhammad Anees <anees@aneconomist.com> |
To | statalist@hsphsun2.harvard.edu |
Subject | Re: st: How to generate a table with the outcomes of unit-root tests from unbalanced panel? |
Date | Fri, 18 Nov 2011 12:02:16 +0500 |
As the -help dfuller- suggest -dfuller- only saves the following Scalars in r() about which you would already be familiar: r(N) number of observations r(lags) number of lagged differences r(Zt) Dickey-Fuller test statistic r(p) MacKinnon approximate p-value (if there is a constant or trend in associated regression) In running the -reg- and -esttab- is of limited help in earlier example. You need to seek help of the ado which results the interpolated Dickey-Fuller t-statistic. I hope this shed some light on what you need to do. On Fri, Nov 18, 2011 at 10:52 AM, Yuval Arbel <yuval.arbel@gmail.com> wrote: > 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 <austinnichols@gmail.com> wrote: >> Yuval Arbel <yuval.arbel@gmail.com>: >> 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 <anees@aneconomist.com> 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 <yuval.arbel@gmail.com> 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. >> >> * >> * For searches and help try: >> * http://www.stata.com/help.cgi?search >> * http://www.stata.com/support/statalist/faq >> * http://www.ats.ucla.edu/stat/stata/ >> > > > > -- > Dr. Yuval Arbel > School of Business > Carmel Academic Center > 4 Shaar Palmer Street, Haifa, Israel > e-mail: yuval.arbel@gmail.com > > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ > -- Regards --------------------------- Muhammad Anees Assistant Professor COMSATS Institute of Information Technology Attock 43600, Pakistan www.aneconomist.com * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/