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From | Nick Cox <n.j.cox@durham.ac.uk> |
To | "'statalist@hsphsun2.harvard.edu'" <statalist@hsphsun2.harvard.edu> |
Subject | RE: st: RE: dfuller: why do I get different results? |
Date | Fri, 18 Nov 2011 13:08:05 +0000 |
See my earlier answer on using -foreach- with an FAQ as reference. I don't know if it will work, in the sense of doing what you want. By the way, I have a horrible feeling that you are in econometric peril here in some sense, and I am not endorsing your choices. You've already chosen to ignore the advice of Austin Nichols. If I were doing econometrics, I would want a very good reason to ignore Austin Nichols. By the way, Austin Nichols is not another "Nick". Nick n.j.cox@durham.ac.uk Yuval Arbel Your answer brings me to my second question: I am trying to run: bysort appt: dfuller reduct_per,noconstant regress but I'm getting the message: dfuller may not be combined with by I also tried to use -statsby- but it doesn't work either: Is there another way to run dfuller by apartments? On Fri, Nov 18, 2011 at 1:37 PM, Nick Cox <n.j.cox@durham.ac.uk> wrote: > bysort appt: gen reduct1=reduct_per[_n-1] > > and > > gen reduct1 = L1.reduct > > give identical results only under certain conditions. One is that sorting by -appt- does _not_ itself guarantee that values for each -appt- are sorted in time order. There can be other problems with omitted observations, etc. > > Use time-series operators after -tsset- to generate lagged variables. > > Nick > n.j.cox@durham.ac.uk > > > -----Original Message----- > From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Yuval Arbel > Sent: 18 November 2011 11:30 > To: statalist > Subject: st: dfuller: why do I get different results? > > Dear Statalist Participants, > > when I run: > > . dfuller reduct_per if appt==2862,noconstant regress > > I get the following outcome: > > 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) -6.026 -2.641 -1.950 -1.605 > > ------------------------------------------------------------------------------ > D.reduct_per | Coef. Std. Err. t P>|t| [95% Conf. Interval] > -------------+---------------------------------------------------------------- > reduct_per | > L1. | -.5409015 .0897625 -6.03 0.000 -.7229484 -.3588546 > ------------------------------------------------------------------------------ > > Those outcomes imply that the calculated statistic for the unit-root > test is -6.03 > > But when I define: > > bysort appt: gen reduct1=reduct_per[_n-1] > bysort appt: gen dreduct1=reduct_per-reduct_per[_n-1] > > and I run: > > > regress dreduct1 reduct1 if appt==2862,noconst > > I get: > > . regress dreduct1 reduct1 if appt==2862,noconst > > Source | SS df MS Number of obs = 36 > -------------+------------------------------ F( 1, 35) = 0.00 > Model | 0 1 0 Prob > F = 1.0000 > Residual | 625 35 17.8571429 R-squared = 0.0000 > -------------+------------------------------ Adj R-squared = -0.0286 > Total | 625 36 17.3611111 Root MSE = 4.2258 > > ------------------------------------------------------------------------------ > dreduct1 | Coef. Std. Err. t P>|t| [95% Conf. Interval] > -------------+---------------------------------------------------------------- > reduct1 | 0 .0509647 0.00 1.000 -.1034639 .1034639 > ------------------------------------------------------------------------------ > > . > Shouldn't I get exactly the same outcomes in both regressions? * * 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/