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Re: st: RE: dfuller: why do I get different results?
From
Yuval Arbel <[email protected]>
To
[email protected]
Subject
Re: st: RE: dfuller: why do I get different results?
Date
Fri, 18 Nov 2011 18:31:23 +0200
Nick,
Note that I looked very carefully at the material Austin Nicols sent
me. His implication was that I should run a unit root test on a panel
dataset. I tried to run the following commands, but they did not seem
to work:
. xtset appt time_index
panel variable: appt (unbalanced)
time variable: time_index, 0 to 114, but with gaps
delta: 1 unit
. xtunitroot llc reduct_per
Levin-Lin-Chiu test requires strongly balanced data
r(498);
. xtunitroot ht reduct_per
Harris-Tzavalis test requires strongly balanced data
r(498);
. xtunitroot breitung reduct_per
Breitung test requires strongly balanced data
r(498);
On Fri, Nov 18, 2011 at 3:08 PM, Nick Cox <[email protected]> wrote:
> See my earlier answer on using -foreach- with an FAQ as reference. I don't know if it will work, in the sense of doing what you want.
>
> By the way, I have a horrible feeling that you are in econometric peril here in some sense, and I am not endorsing your choices.
>
> You've already chosen to ignore the advice of Austin Nichols. If I were doing econometrics, I would want a very good reason to ignore Austin Nichols.
>
> By the way, Austin Nichols is not another "Nick".
>
> Nick
> [email protected]
>
> Yuval Arbel
>
> Your answer brings me to my second question:
>
> I am trying to run:
>
> bysort appt: dfuller reduct_per,noconstant regress
>
> but I'm getting the message:
>
> dfuller may not be combined with by
>
> I also tried to use -statsby- but it doesn't work either:
>
> Is there another way to run dfuller by apartments?
>
> On Fri, Nov 18, 2011 at 1:37 PM, Nick Cox <[email protected]> wrote:
>
>> bysort appt: gen reduct1=reduct_per[_n-1]
>>
>> and
>>
>> gen reduct1 = L1.reduct
>>
>> give identical results only under certain conditions. One is that sorting by -appt- does _not_ itself guarantee that values for each -appt- are sorted in time order. There can be other problems with omitted observations, etc.
>>
>> Use time-series operators after -tsset- to generate lagged variables.
>>
>> Nick
>> [email protected]
>>
>>
>> -----Original Message-----
>> From: [email protected] [mailto:[email protected]] On Behalf Of Yuval Arbel
>> Sent: 18 November 2011 11:30
>> To: statalist
>> Subject: st: dfuller: why do I get different results?
>>
>> 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?
>
> *
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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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