Dear Trubador,
Thank you for your time spent and willingness to help me. Regarding the unit root programme, I encountered some problems within the programme written for Zivot-Andrews unit root for a group of series. According to your advice, I have came out the following code for group of series:
Code: Select all
Group g lnm2 lny r lnex
table ZAZ
for !kk = 1 to g.@count
%name = g.@seriesname(!kk)
series Y = {%name}
!trim = 0.15 'Trimming parameter
!t_min = 1000
!min_aic = 1000
vector(1) breaks
series DY = D(Y)
for !lag=0 to 4
for !i = @round(@obs(Y)*!trim) to @round(@obs(Y)*(1-!trim))
if !lag = 0 then
equation temp.ls DY Y(-1) C @trend (@trend>!i)
else
equation temp.ls DY Y(-1) C @trend (@trend>!i) DY(-1 to -!lag)
endif
if temp.@aic < !min_aic then
!best_lag = !lag
!min_aic = temp.@aic
if temp.@tstats(1) < !t_min then
!t_min = temp.@tstats(1)
breaks(1) = !i+2 'Identified first break point.
series DU1 = @trend> !i
if !best_lag = 0 then
equation ZA.ls DY Y(-1) C @trend DU1 'Selected equation
else
equation ZA.ls DY Y(-1) C @trend DU1 DY(-1 to -!best_lag) 'Selected equation
endif
endif
endif
next
next
ZAZ(1,1) = "Variables"
setline(ZAZ, 2)
ZAZ(3,1) = "t-stat"
ZAZ(4,1) = "Lag"
ZAZ(5,1) = "Breaks1"
ZAZ(6,1) = "DU1-tstat"
ZAZ(1,1+!kk) = %name
ZAZ(3,1+!kk) = ZA.@tstat(1)
ZAZ(4,1+!kk) = !best_lag
ZAZ(5,1+!kk) = breaks(1)
ZAZ(6,1+!kk) = @tstat(4)
next
delete temp
show ZAZ
Regret to inform that, the lag length shows in table "ZAZ(4,1)" is not the lag order used to compute the ZA test. For example, if I run the programe without grouping the series(i.e. individual series programme) then the lag length show on the estimated equation output is zero, while when I use the above command its lag length has been changed to three (3). How can I modified the programme code, thus the results in table ZAZ become consistent to the output?
Apart from that, for table "ZAZ(6,1)", I have programmed to show the t-statistics for the dummy variables, but is it plausible to show p-value?
Finally, why the "setline(ZAZ, 2)" command does not perform for the last variable result? - For your information, this is not an important issue, don't spend to much time at this stage.
Thank you in advance,
Warmest regards,
tcfoon