MHEGY
Posted: Sun Mar 17, 2013 4:38 pm
Hi,
I've been able to run the MHEGY code to calculate the pi t stats for the unit roots. I wondered however if it would be possible to get the R-squared of the model as you can if you use the method denoted below by Enders for the HEGY test:
Thanks
I've been able to run the MHEGY code to calculate the pi t stats for the unit roots. I wondered however if it would be possible to get the R-squared of the model as you can if you use the method denoted below by Enders for the HEGY test:
Code: Select all
calendar 1960 1 4
alllocate 1991:4
open data us.prn
data(format=prn,org=obs) /
statistics gdp85
set lgdp = log(gdp85)
graph 1
# lgdp
set trend = t
set y1 = lgdp + lgdp{1} + lgdp{2} + lgdp{3}
set y2 = lgdp - lgdp{1} + lgdp{2} - lgdp{3}
set y3 = lgdp - lgdp{2}
set y4 = lgdp - lgdp{4}
linreg y4 / resids
# constant trend y1{1} y2{1} y3{1} y3{2}
exclude
# y3{1} y3{2}
cor(qstats,number=4) resids