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st: RE: how to obtain demeaned data and detrended data in Stata
From
Jan Bryla <[email protected]>
To
"[email protected]" <[email protected]>
Subject
st: RE: how to obtain demeaned data and detrended data in Stata
Date
Wed, 19 Oct 2011 14:03:14 +0200
Ama,
Demeaning the variable "var" by variable "id" can be done as follows (it this is indeed what you mean by demeaning)
egen mean_var = mean(var), by(id)
generate demeaned_var = var- mean_var
If you have multiple variables this may help you http://www.stata.com/statalist/archive/2010-09/msg00673.html
See -help egen-
Regarding your detrending question, I guess many people work with the Hodrick-Prescott filter, which is implementet in Stata as an ado-file from SSC. See -findit hprescott-
Maybe this neat presentation will help you http://www.stata.com/meeting/5nasug/TSFiltering_beamer.pdf
Christopher F Baum, 2004.
"HPRESCOTT: Stata module to implement Hodrick-Prescott filter for timeseries data," Statistical Software Components
S447001, Boston College Department of Economics, revised 28 Oct 2009.
Hope this helps
Jan Bryla
-----Original Message-----
From: [email protected] [mailto:[email protected]] On Behalf Of amatoallah ouchen
Sent: 19. oktober 2011 13:16
To: [email protected]
Subject: st: how to obtain demeaned data and detrended data in Stata
Good day Stata Listers,
I would like to run KSS test (KAPETANIOS, G. – SHIN, Y. – SNELL, A.
2003: Testing for a UnitRoot in the Nonlinear STAR Framework) , but i
don't know how to obtain demeaned data and detrended data .Could you
describe me the process in STATA?
Many thanks in advance.
Ama
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