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Re: st: How to generate a table with the outcomes of unit-root tests from unbalanced panel?
From
Yuval Arbel <[email protected]>
To
[email protected]
Subject
Re: st: How to generate a table with the outcomes of unit-root tests from unbalanced panel?
Date
Fri, 18 Nov 2011 10:19:55 +0200
I might also be able to use -statsby-
Anyway, i would like thank you for your efforts to answer the question
On Fri, Nov 18, 2011 at 9:44 AM, Nick Cox <[email protected]> wrote:
> On the use of the word "macro", see
>
> http://www.stata.com/statalist/archive/2008-08/msg01258.html
>
> On guidance on looping, see
>
> FAQ . . . . . . . . . . Making foreach go through all values of a variable
> . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . N. J. Cox
> 8/05 Is there a way to tell Stata to try all values of a
> particular variable in a foreach statement without
> specifying them?
> http://www.stata.com/support/faqs/data/foreach.html
>
> SJ-2-2 pr0005 . . . . . . Speaking Stata: How to face lists with fortitude
> . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . N. J. Cox
> Q2/02 SJ 2(2):202--222 (no commands)
> demonstrates the usefulness of for, foreach, forvalues, and
> local macros for interactive (non programming) tasks
>
>
> On Fri, Nov 18, 2011 at 5:52 AM, Yuval Arbel <[email protected]> wrote:
>> 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 <[email protected]> wrote:
>>> Yuval Arbel <[email protected]>:
>>> 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 <[email protected]> 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 <[email protected]> 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:
>>>>>
>
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--
Dr. Yuval Arbel
School of Business
Carmel Academic Center
4 Shaar Palmer Street, Haifa, Israel
e-mail: [email protected]
*
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