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Re: st: Using dwstat after regress and dfuller
On Fri, 17 Feb 2006, Coffey, Seamus wrote:
Can someone explain why dwstat returns different values (in Stata 8.0) after
the dfuller and regress commands for what are the equivalent regressions?
The results are shown below and you can see that the d value is 1.996121
after dfuller and is 1.314681 after regress.
I know the d statistic is not appropriate for an autogregressive model but
surely the computed value should be the same.
Thanks
Seamus,
The DW statistic reported after -regress- is correct.
-dfuller- uses a temporary variable to represent the trend in the
regression it runs, and, being temporary, that variable is not known to
-dwstat-. Therefore, the residuals used by -dwstat- are incorrect.
In short, you cannot use -dwstat- after -dfuller-. You'd need to refit
the Dickey-Fuller regression using -regress- before calling -dwstat-.
In a future adofile update, we will fix -dwstat- to spot such conditions
and exit with an error message if necessary.
-- Brian Poi
-- [email protected]
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