i finally figured out what i'm doing wrong. I was able to use the
codes below to get the the optimal lag order to feed levinlin and
ipshin. However, i got the results below. Is it because my time data
variable is too short only 7 survey years occuring every three years.
. ipshin lpcexp, lag(`opt_lag')
Im-Pesaran-Shin test for cross-sectionally demeaned lpcexp
Deterministics chosen: constant
t-bar test, N,T = (74,7) Obs = 296
Augmented by 2 lags (average)
t-bar cv10 cv5 cv1 W[t-bar] P-value
dot -1.640 -1.680 -1.750 dot dot
.
levinlin lpcexp, lag(`opt_lag')
Levin-Lin-Chu test for lpcexp Deterministics chosen: constant
Reducing Andrews truncation
Pooled ADF test, N,T = (74,7) Obs = 12
Augmented by 2 lags (average) Truncation: 4 lags
coefficient t-value t-star P > t
-0.87566 -5.704 dot dot
On Nov 23, 2007 8:02 PM, Majah Ravago <[email protected]> wrote:
> Dear Scott and Sean,
>
> Thank you very much for posting this codes. THis is what i need!
> I just have a few questions 'coz it returns an error to my data.
> i'm a beginner in dynamic panel analysis. i need the optimal lag to
> use levinlin and pescadf
>
> my data is i=77 and T=7 (panel survey of every three years)
>
> I was trying to adapt the codes below. Why does it only use 12
> countries in the panel?
> I tried removing this line to include my 77 i (province), but i got an
> error "insufficient observation."
> Is 13 in the "keep if country < 13" an arbitrary chosen number because
> countries in the example is more than this.
>
> Please tell me what this means:
>
> forv i = 1(5)60 {
> local lag = opt[`i']
> local opt_lag "`opt_lag' `" "' `lag'"
>
> What is the 1(5)60.
>
> I hope somebody can explain. I really need this codes figure out badly.
>
> Thank you so much!!!
>
>
> Majah
>
>
>
>
> use http://fmwww.bc.edu/ec-p/data/hayashi/sheston91.dta,clear
> qui {
> keep if country < 13
> preserve
> levels country, local(levels)
> foreach l of local levels {
> varsoc rgdp if country == `l'
> matrix A = r(stats)
> if `l' > 1 {
> matrix C = C \ A
> }
> else {
> matrix C = A
> }
> }
> svmat C, name(col)
> keep if HQ < .
>
> egen id = fill(1 1 1 1 1 2 2 2 2 2)
>
> egen minh = min(H), by(id)
> gen optimal_lag = lag if minh == HQ
>
> sort id opt
> forv i = 1(5)60 {
> local lag = opt[`i']
> local opt_lag "`opt_lag' `" "' `lag'"
> }
>
> restore
> }
> levinlin rgdp, lag(`opt_lag')
> *
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>
*
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