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| From | Yuval Arbel <yuval.arbel@gmail.com> |
| To | statalist@hsphsun2.harvard.edu |
| Subject | Re: st: How to generate a table with the outcomes of unit-root tests from unbalanced panel? |
| Date | Fri, 18 Nov 2011 07:52:56 +0200 |
I believe what I need is to construct a macro with -foreach- command and for each appt number to carry out the -dfuller- command. However, I don't know how exactly to construct such a macro. Can you assist me? On Thu, Nov 17, 2011 at 5:58 PM, Austin Nichols <austinnichols@gmail.com> wrote: > Yuval Arbel <yuval.arbel@gmail.com>: > I doubt you really want -dfuller- output. You should read at minimum: > http://www.econ.cam.ac.uk/faculty/pesaran/lm.pdf > http://www.econ.cam.ac.uk/faculty/pesaran/wp11/Interpretation-Panel-Unit-September-2011.pdf > and see especially the lit review in the second for recent work. > > On Thu, Nov 17, 2011 at 10:05 AM, Muhammad Anees <anees@aneconomist.com> wrote: >> -Dfuller- runs regression where the Z(t) is the coefficient of the >> estimated lagged Dep.Var with D.(Dep.Var) as the dependent variable. >> Using the estout option after the regress command could do what you >> want. >> >> example is give from my results >> energyusekt | Coef. Std. Err. t P>|t| [95% Conf. Interval] >> -------------+---------------------------------------------------------------- >> energyusekt | >> L1. | .0349052 .0078295 4.46 0.000 .018976 .0508345 >> | >> _cons | 384.8409 365.0711 1.05 0.299 -357.9018 1127.584 >> ------------------------------------------------------------------------------ >> >> . estimates store a >> >> . esttab >> >> ---------------------------- >> (1) >> D.energyus~t >> ---------------------------- >> L.energyus~t 0.0349*** >> (4.46) >> >> _cons 384.8 >> (1.05) >> ---------------------------- >> N 35 >> ---------------------------- >> t statistics in parentheses >> >> Now using other Stata tools, it can easily be exported. >> regress d.energyusekt l.energyusekt >> On Thu, Nov 17, 2011 at 7:49 PM, Yuval Arbel <yuval.arbel@gmail.com> wrote: >>> Dear statalist participants, >>> >>> I have an unbalanced panel of apartments, which contains 9,547 apartments. >>> >>> I ran the following commands: >>> >>> . tsset t >>> time variable: t, 1 to 507798 >>> delta: 1 unit >>> >>> . dfuller reduct_per if appt==2851 >>> >>> Dickey-Fuller test for unit root Number of obs = 27 >>> >>> ---------- Interpolated Dickey-Fuller --------- >>> Test 1% Critical 5% Critical 10% Critical >>> Statistic Value Value Value >>> ------------------------------------------------------------------------------ >>> Z(t) -0.891 -3.736 -2.994 -2.628 >>> ------------------------------------------------------------------------------ >>> MacKinnon approximate p-value for Z(t) = 0.7910 >>> >>> . dfuller reduct_per if appt==2862 >>> >>> Dickey-Fuller test for unit root Number of obs = 37 >>> >>> ---------- Interpolated Dickey-Fuller --------- >>> Test 1% Critical 5% Critical 10% Critical >>> Statistic Value Value Value >>> ------------------------------------------------------------------------------ >>> Z(t) -6.784 -3.668 -2.966 -2.616 >>> ------------------------------------------------------------------------------ >>> MacKinnon approximate p-value for Z(t) = 0.0000 >>> >>> . dfuller reduct_per if appt==2906 >>> >>> Dickey-Fuller test for unit root Number of obs = 94 >>> >>> ---------- Interpolated Dickey-Fuller --------- >>> Test 1% Critical 5% Critical 10% Critical >>> Statistic Value Value Value >>> ------------------------------------------------------------------------------ >>> Z(t) -1.313 -3.518 -2.895 -2.582 >>> ------------------------------------------------------------------------------ >>> MacKinnon approximate p-value for Z(t) = 0.6233 >>> >>> . dfuller reduct_per if appt==2907 >>> >>> Dickey-Fuller test for unit root Number of obs = 103 >>> >>> ---------- Interpolated Dickey-Fuller --------- >>> Test 1% Critical 5% Critical 10% Critical >>> Statistic Value Value Value >>> ------------------------------------------------------------------------------ >>> Z(t) -2.647 -3.509 -2.890 -2.580 >>> ------------------------------------------------------------------------------ >>> MacKinnon approximate p-value for Z(t) = 0.0836 >>> >>> Now, I would like to produce a table where for each apartment I attach >>> the full output of dfuller >>> >>> I wonder, how can I produce such a table in a way that it can be >>> exported in xls. or csv. formats: >>> >>> I thank you in advance for your assistance. > > * > * 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/ > -- Dr. Yuval Arbel School of Business Carmel Academic Center 4 Shaar Palmer Street, Haifa, Israel e-mail: yuval.arbel@gmail.com * * 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/