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Re: st: Problem with foreach in Stata 10.1
On Mon, 17 Nov 2008, Joao Ricardo F. Lima wrote:
Dear Statalister,
I`m with one problem using foreach with Stata 10.1. I was teaching
unit root test, I was demonstrating how to use the foreach command
too. The, the surprise:
***begin example****
webuse air2
forvalues i=1/3 {
dfuller air, lags(`i')
estat ic
}
***end example****
This works fine with Stata 9.2, but don't with 10.1. ...
-dfuller- is an r-class command, but prior to Stata 10 it had been leaving
behind regression results in the e-class macros. In general, r-class
commands should not affect any estimation results the user has lying
around, so in Stata 10 we modified -dfuller- to back up and restore the
user's prior estimation results.
In Joao Ricardo's example using Stata 10.1, his -estat ic- results are
always showing the results for the first call to -dfuller-; presumably he
did not do any estimation before calling -dfuller-, since in that case
-dfuller- did not see any estimation results that it needed to back up and
restore. In fact, -dfuller- should not be saving e-class results in that
case, either; we will address that in an ado-file update.
Using -estat ic- in conjunction with -dfuller- to choose the optimal
number of lags to include might at first blush seem like a good idea.
However, looking at his results using Stata 9 reveal a problem: the sample
size used in each case depends on the number of lags specified with
-dfuller-. When using an information criterion to select the lag order,
you should restrict the estimation sample to the subset of observations
that can be used with the maximum number of lags you wish to consider.
-- Brian Poi
-- [email protected]
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