<>
*************
webuse air2, clear
gen newair=air*runiform()
gen newair2=air*runiform()
gen newair3=air+1
foreach var of varlist *air*{
di in r "Now at: `var'"
dfuller `var'
capt assert r(p)<.1
if _rc local drops `drops' `var'
}
drop `drops'
*************
HTH
Martin
-----Ursprüngliche Nachricht-----
Von: [email protected]
[mailto:[email protected]] Im Auftrag von Joshua A.
Shindell
Gesendet: Donnerstag, 5. November 2009 16:49
An: [email protected]
Betreff: st: drop variables based on results of Dickey-Fuller test
I am using the following code to run a dickey-fuller test on each of the
following three variables. I am looking to only keep the variables for
which I get a test statistic that indicates a unit root in each process.
foreach z in var1 var2 var3{
dfuller `z'
}
I have tried making the condition based on the p-values stored in r(p),
this code below is where some help would be greatly appreciated. I am
able to display a list of all the variables that meet the condition, but
how can I tell stata to drop the variables for the case in which the
condition below does not hold?
foreach z in var1 var2 var3{
dfuller `z'
gen `z'df = r(p)
replace `z'df=. if Date!=10/31/2009
}
ds *df
foreach z in `r(varlist)'{
summarize `z', meanonly
if r(mean)>=.10{
display as text "pvalue `z' = " as result r(mean)
}
}
Thank you very much for any suggestions.
Best,
Joshua A. Shindell
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*
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* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
