Just a little note!! In BIC calculation, Stata assumes N=e(N). So, we need to use the command as follows:
webuse air2, clear
forvalues i=1/3{
dfuller air, lags(`i')
estat ic, n(`e(N)')
}
regards,
Jeetendra Aryal
Research Fellow
Department of Economics and Resource Management
Norwegian University of Life Sciences
>-----Original Message-----
>From: [email protected] [mailto:owner-
>[email protected]] On Behalf Of Neil Shephard
>Sent: Monday, November 17, 2008 6:46 PM
>To: [email protected]
>Subject: Re: st: Problem with foreach in Stata 10.1
>
>Your title indicated -foreach- but your actually using -forval- and the
>problem isn't related to doing things in a loop.
>
>Joao Ricardo F. Lima wrote:
>> How you can see, the estat ic is repeated in each looping...
>>
>> Can someone reproduce my problem and explain what am I doing wrong?
>>
>> Thanks a lot
>>
>>
>
>It looks to me like you copied and pasted the output from 9.2 in both
>instances. When I ran the code in Stata 10.1 (Born 11 Aug 2008) there
>was a note at the bottom of the tables output by -estat-....
>
> Note: N=Obs used in calculating BIC; see [R] BIC note
>
>On reading this your problem became clearer and looking at the tables
>again I notied that the Obs reported by -estat- did not match those
>reported by -dfuller-, so I took the advice given in that note and used
>thesample sizes estaimted by -dfuller- when calling -estat-...
>
>webuse air2, clear
>forvalues i=1/3 {
> dfuller air, lags(`i')
> estat ic, n(`r(N)')
> }
>
>...is this what you were expecting (output below)?
>
>Neil
>
>Augmented Dickey-Fuller test for unit root Number of obs
>= 142
>
> ---------- Interpolated Dickey-Fuller
>---------
> Test 1% Critical 5% Critical 10%
>Critical
> Statistic Value Value
>Value
>------------------------------------------------------------------------
>------
> Z(t) -2.345 -3.496 -2.887
>-2.577
>------------------------------------------------------------------------
>------
>MacKinnon approximate p-value for Z(t) = 0.1579
>
>------------------------------------------------------------------------
>-----
> Model | Obs ll(null) ll(model) df
>AIC BIC
>-------------+----------------------------------------------------------
>-----
> . | 142 . -1285.563 20 2611.125
>2670.242
>------------------------------------------------------------------------
>-----
> Note: N=142 used in calculating BIC
>
>Augmented Dickey-Fuller test for unit root Number of obs
>= 141
>
> ---------- Interpolated Dickey-Fuller
>---------
> Test 1% Critical 5% Critical 10%
>Critical
> Statistic Value Value
>Value
>------------------------------------------------------------------------
>------
> Z(t) -1.811 -3.496 -2.887
>-2.577
>------------------------------------------------------------------------
>------
>MacKinnon approximate p-value for Z(t) = 0.3751
>
>------------------------------------------------------------------------
>-----
> Model | Obs ll(null) ll(model) df
>AIC BIC
>-------------+----------------------------------------------------------
>-----
> . | 141 . -1285.563 20 2611.125
>2670.1
>------------------------------------------------------------------------
>-----
> Note: N=141 used in calculating BIC
>
>Augmented Dickey-Fuller test for unit root Number of obs
>= 140
>
> ---------- Interpolated Dickey-Fuller
>---------
> Test 1% Critical 5% Critical 10%
>Critical
> Statistic Value Value
>Value
>------------------------------------------------------------------------
>------
> Z(t) -1.536 -3.497 -2.887
>-2.577
>------------------------------------------------------------------------
>------
>MacKinnon approximate p-value for Z(t) = 0.5158
>
>------------------------------------------------------------------------
>-----
> Model | Obs ll(null) ll(model) df
>AIC BIC
>-------------+----------------------------------------------------------
>-----
> . | 140 . -1285.563 20 2611.125
>2669.958
>------------------------------------------------------------------------
>-----
> Note: N=140 used in calculating BIC
>
>
>--
>"We should make things as simple as possible, but not simpler" - Anon
>(not Albert Einstein)
>
>
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