Hi Dr. Bilal, I have a question please. In case if some of my variables were stationary at first difference should I write "d." beside it everywhere in the "xtpmg" command? Because when do so, it gives more significant variables for the p-values. Thanks in advance.
Hi, introducing difference operator should not be led by temptation of desired results. Rather by logic and the logic is correct that they need to be differenced. And using the d. operator is correct syntax to do it. Good Luck
Hi, thanks for sharing. I faced a problem in running mg. The stata error msg shows "variable name EC is in the list of predictors" . May I know how to solve this?
delete all variables in Variables window of stata with names like _est_MG, _est_mg, _est_PMG, _est_pmg, _est_rDFE and _est_DFE. Assuming that dependent variable is x and independent variable is y, then you can run all of the following commands to get results of MG, PMG and DFE, in on go: xtpmg d.y d.x, lr(l.y x) ec(EC) replace mg xtpmg d.y d.x, lr(l.y x) ec(EC) replace pmg hausman mg pmg, sigmamore xtpmg d.y d.x, lr(l.y x) ec(EC) replace dfe hausman mg DFE, sigmamore
@@drbilalmehmood206 Dear Dr Bilal, Thank you for your courteous response. Even after removing that variable, the same error message show : "invalid new variable name; variable name __ec is present in the list of predictors." and r(110).
![First Generation Panel Unit Root Tests in Stata [LLC, IPS, BREITUNG,FISHER]](http://i.ytimg.com/vi/RWOZYcZCtic/mqdefault.jpg)
Well explained in a very clear and comprehensive manner
thanks
😊
Hi Dr. Bilal, I have a question please. In case if some of my variables were stationary at first difference should I write "d." beside it everywhere in the "xtpmg" command? Because when do so, it gives more significant variables for the p-values. Thanks in advance.
Hi, introducing difference operator should not be led by temptation of desired results. Rather by logic and the logic is correct that they need to be differenced. And using the d. operator is correct syntax to do it. Good Luck
Okay thanks.
Hi, thanks for sharing. I faced a problem in running mg. The stata error msg shows "variable name EC is in the list of predictors" . May I know how to solve this?
delete all variables in Variables window of stata with names like _est_MG, _est_mg, _est_PMG, _est_pmg, _est_rDFE and _est_DFE.
Assuming that dependent variable is x and independent variable is y, then you can run all of the following commands to get results of MG, PMG and DFE, in on go:
xtpmg d.y d.x, lr(l.y x) ec(EC) replace mg
xtpmg d.y d.x, lr(l.y x) ec(EC) replace pmg
hausman mg pmg, sigmamore
xtpmg d.y d.x, lr(l.y x) ec(EC) replace dfe
hausman mg DFE, sigmamore
@@drbilalmehmood206 Dear Dr Bilal, Thank you for your courteous response. Even after removing that variable, the same error message show
: "invalid new variable name; variable name __ec is present in the list of predictors." and r(110).
you may consider sharing the data on my email