Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.
[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]
Re: st: lag length selection in unbalanced panel
From
Nick Cox <[email protected]>
To
[email protected]
Subject
Re: st: lag length selection in unbalanced panel
Date
Tue, 27 Sep 2011 20:38:32 +0100
Impossible to say on this evidence. We need to see all your code. We
may need to know more about your data.
Nick
2011/9/27 spyridoula dimou <[email protected]>:
> I am using an unbalanced panel, for which I want to perform the Fisher stationarity test. Therefore, I have to choose the appropriate number of lags to include. As the varsoc command does not work in panel data, I have tried to derive the optimal number of lags using the HQIC as proposed by http://www.stata.com/statalist/archive/2005-02/msg00264.html.
> When coming to perform my test, I copy the procedure proposed, changing the variable names and write
> xtfisher y, lag(`opt_lag').
> Then stata displays:
> option lag() incorrectly specified
> What is the mistake I make? When running the procedure using the
> http://fmwww.bc.edu/ec-p/data/hayashi/sheston91.dta
> everything works fine...
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/