RE: st: aic and adftest -- error

["Olga Gorbachev Melloni" <olga_gorbachev@hotmail.com>]

I appologize to all for posting previouse message before understanding what 
mata was. I now have it "fixed".

But my question is: is there anything like -adftest- for panel data?


I am using xtfisher. Which is great, but I would like to know how many lags 
are optimal.

-estat ic-  doesn't work after xtfisher giving me "likelyhood info is not 
found in last estimation"
but i know that it exists, after typing -ereturn list- I see that e(ll_0) is 
defined.

do you have any advice?






> From: "Olga Gorbachev Melloni" <olga_gorbachev@hotmail.com>
> Reply-To: statalist@hsphsun2.harvard.edu
> To: statalist@hsphsun2.harvard.edu
> Subject: st: aic  and adftest -- error
> Date: Thu, 31 Aug 2006 16:09:58 -0400
>
> Hi,
>
> I liked very much the -adftest- routine that Rodrigo Martell  posted a few 
> weeksa ago. So i copied it hoping ot use it. But for whatever reason I get 
> an error messge that the "varlist is not allowed" and of course if I don't 
> give any varlist, the error message says "requires varlist"
>
> does that make any sense?
>
> adftest dfood, lag(5)
>
> *****************
> Here is the repreduction of the code I used:
> *********************
>
> program define adftest, rclass
>
> > version 9.2
> > syntax varlist(max=1) [if] [in] [, Lags(int-1) bic ]
> > estimates clear
> > tokenize `varlist'
> > foreach var of local varlist{
> > 	forvalues i=1/`lags'{
> > 		//display "ADF(`i') of `var'"
> > 		qui dfuller `var', constant lags(`i') 		local list storage(`i')
> > 		estimates store adf_`i'_`var'
> > 	}
> > 	qui estimates stats `storage(`i')'
> > 	matrix s=r(S)
> > 	matrix criteria=J(`lags',2,.)
> > 	forvalues i=1/`lags' {
> > 		matrix criteria[`i',1]=s[`i',5]
> > 		matrix criteria[`i',2]=s[`i',6]
> > 	}
> > if "`bic'" != "" {
> > 	matrix criteria = criteria[1...,2]
> > 	local crit  "BIC"
> > 	}
> > else {
> > 	matrix criteria = criteria[1...,1]
> > 	local crit  "AIC"
> > 	}
> > }
> >
> > mata: min_row(st_matrix("criteria"))
> > local min = min[1,1]
> > display " "
> > display in gr "Optimal lag by `crit' criteria = " `min'
> > dfuller `varlist', lag(`min') constant
> >
> > end
> >
> > mata:
> > 	matrix function min_row(matrix A)
> > 	{
> > 	B = colmin(A)
> >  	C = B:==A
> >  	A2 = (0, 0)
> >  	maxindex(C, 1, C, A2)
> >  	st_matrix("min",C)
> >
> >  	}
> > end
>
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