dfuller x1, reg lag(p) trend (有趋势项,模型3) dfuller x1, reg lag(p) drift (有常数项,模型2) dfuller x1, reg lag(p) nocon (模型1) file:///C:/Users/10143/Desktop/计量经济学/复习资料/计量经济学/stata/2021-07-09 134435.heic 协整检验 EG检验 reg lny lnx predict e1, res dfuller...
在原有基础上有优化: importexcel"D:\Download\1-s2.0-S0140988321000992-mmc1\CodeData\data-final.xlsx",sheet("data")firstrowencoderegion,gen(id)xtsetidyearglptrade=ln(ptrade)quixtunitrootllclptrade,demeannoconstantdiround(`r(p_tds)',.001)quixtunitrootfisherlptrade,dfullerdriftlags(2)demeandiround...
2022-05-12 22:3711回复 小猫绵绵冰ouo解决了吗 救救我 2023-02-09 15:36回复 秃头兔子w回复@旺仔popo : 姐妹,你把数据转成时间序列数据试试,如果你问题是出现在dfuller那里 2023-02-18 15:18回复 bili_96184718275姐妹解决了吗? 2023-04-08 22:33回复 共5条回复, 点击查看Youth...
use 时间序列数据.dta, clear dfuller d.m,lag(2) //ADF检验 dfuller m,nocon regress //ADF检验 dfuller m,trend regress pperron m,lag(2) //PP检验 pperron m,nocon regress pperron d.m,regress dfgls m //DF-GLS检验 kpss m,notrend //KPSS检验 ECM单位根检验 reg m s g estimates store ...
*单位根检验use时间序列数据.dta, cleardfullerd.m,lag(2) //ADF检验dfullerm,nocon regress //ADF检验dfullerm,trend regresspperronm,lag(2) //PP检验pperronm,nocon regresspperrond.m,regressdfglsm //DF-GLS检验kpssm,notrend //KPSS检验
dfuller d.x ADF test after differencing for constant and trend: dfuller d.x, trend If you want to have summary statistics: sumy x1 x2 x3 x4 Howto run correlationmatrix foryour data: correlatey x1 x2 x3 x4 Commandfor running regression model: regressy x1 x2 x3 x4 Ifyou want to chec...
The algorithm for calculating MacKinnon’s approximate p-values is also now more accurate in cases where the p-value is relatively large; see [TS] dfuller. Existing commands corrgram and pac have new option yw that computes partial autocorrelations using the Yule–Walker equations instead of ...
Stata has three commands that can test for the presence of a unit root in a time-series variable: dfuller performs the augmented Dickey–Fuller test, pperron performs the Phillips–Perron test, and dfgls performs a modified Dickey–Fuller test. arfima can also be used to investigate the order...
I use dfuller to perform an ADF test. The null hypothesis I am interested in is that yrwd2 is a random walk process with a possible drift, while the alternative hypothesis posits that yrwd2 is stationary around a linear time trend. Hence, I use the option trend to control for a ...
Panel datasets have the form , where is a vector of observations for unit and time . The particular commands (such as , , and ) are documented in alphabetical order in the entries that follow this entry. If you do not know the name of the command you need, try browsing the second ...