Dear Stata users,
I am having a problem with local macros. Whenever I need to use the
-if command, I cannot include in the expression the local. This is not
the first time I had this kind od problem but I did not find a way
aroud this time.
For example, I have 5 dependent (y1-y5) and independent (x1-x5)
variables, a trend (created by the code, and included as a variable
named "trend") and I want to check for cointegration of each dependent
on each independent variable, considering 3 alternative specifications
1_ No constant, No trend
2_ constant, No trend
3_ constant, trend
The programme (which I include at the end of the email) selects the
specification with the highest Zobs (this is a simplification,
actually, i base the selection on AIC). At the end of the programme, I
need to post the Zobs (i.e. sample statistic) together with the Zcrit
(i.e. critical value). The critical values are from Mackinnon (1990),
testing for cointegration.
My problem is at the end of the code. I get the error:
constant not found
r(111);
The three -if with locals in the expression, which I reproduce :
if (`cons'=="noconstant") & (`tr'="notrend") {
scalar Zcrit== -3.98
}
if (`cons'=="constant") & (`tr'="notrend") {
scalar Zcrit== -3.86
}
if (`cons'=="constant") & (`tr'="trend") {
scalar Zcrit== -3.39
}
What am I doing wrong? (Please, take in mind my code is much more
complicated and I cannot check the Zobs and Zcrit by hand. Also, the
if blocks include other commands to perform some complementary checks)
Cheers
Paulo Regis
* COMPLETE PROGRAMME:
capture postclose Posting
capture drop trend
capture drop r
postfile Posting DepVar IndepVar Zobs Zcritcons Constant trend using
"C:\LongRun_VEC.dta", replace
global DepVar "y1 y2 y3 y4 y5"
global Var "X1 X2 X3 X4 X5"
gen trend=_n
tsset trend
foreach x of global Var {
foreach y of global DepVar {
regress `y' `x'
predict r, residuals
*No Constant and No Trend
dfuller r, noconstant
scalar Zobs=r(Zt)
local cons noconstant
local tr notrend
*Constant and No Trend
dfuller r,
scalar Zobs2=r(Zt)
if Zobs2<Zobs2{
scalar Zobs=Zobs2
local cons constant
local tr notrend
}
*Constant and Trend
dfuller r, trend
scalar Zobs2=r(Zt)
if Zobs2<Zobs{
scalar Zobs=Zobs2
local cons constant
local tr trend
}
dfuller r, `cons' `tr'
if (`cons'=="noconstant") & (`tr'="notrend") {
scalar Zcrit== -3.89
}
if (`cons'=="constant") & (`tr'="notrend") {
scalar Zcrit== -3.86
}
if (`cons'=="constant") & (`tr'="trend") {
scalar Zcrit== -3.39
}
drop r
post Posting (`y') (`x') (Zobs) (Zcrit) ("`cons'") ("`tr'")
}
}
*
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