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st: dfuller: why do I get different results?
From
Yuval Arbel <[email protected]>
To
statalist <[email protected]>
Subject
st: dfuller: why do I get different results?
Date
Fri, 18 Nov 2011 13:30:15 +0200
Dear Statalist Participants,
when I run:
. dfuller reduct_per if appt==2862,noconstant regress
I get the following outcome:
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) -6.026 -2.641 -1.950 -1.605
------------------------------------------------------------------------------
D.reduct_per | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
reduct_per |
L1. | -.5409015 .0897625 -6.03 0.000 -.7229484 -.3588546
------------------------------------------------------------------------------
Those outcomes imply that the calculated statistic for the unit-root
test is -6.03
But when I define:
bysort appt: gen reduct1=reduct_per[_n-1]
bysort appt: gen dreduct1=reduct_per-reduct_per[_n-1]
and I run:
regress dreduct1 reduct1 if appt==2862,noconst
I get:
. regress dreduct1 reduct1 if appt==2862,noconst
Source | SS df MS Number of obs = 36
-------------+------------------------------ F( 1, 35) = 0.00
Model | 0 1 0 Prob > F = 1.0000
Residual | 625 35 17.8571429 R-squared = 0.0000
-------------+------------------------------ Adj R-squared = -0.0286
Total | 625 36 17.3611111 Root MSE = 4.2258
------------------------------------------------------------------------------
dreduct1 | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
reduct1 | 0 .0509647 0.00 1.000 -.1034639 .1034639
------------------------------------------------------------------------------
.
Shouldn't I get exactly the same outcomes in both regressions?
--
Dr. Yuval Arbel
School of Business
Carmel Academic Center
4 Shaar Palmer Street, Haifa, Israel
e-mail: [email protected]
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