[JanDitzen]

Yes, please type it in the normal Stata command window.

xtdcce2 should support Stata 12. I checked the last version using version control. The error you receive hints that mata accesses a part of a program which it should not.

The d.y is the first difference. The second difference would be d2.y.

[marwan Alssadek]

Hi,Jan
I used your Stata code by applying Kamair's Moaddess, I got the following error



. xtdcce2 d.y dp d.gd d.(dp d.gd) , cr(d.y dp d.gd) cr_lags(0 3 3) fullsample

xtdcce_m_selectindex(): 3499 selectindex() not found
<istmt>: - function returned erro

Do you have anything in Do file you can send it to me or if you can write the Stata code here in a simply way, it would be more helpful.

Thanks

[marwan Alssadek]

your Stata command did not work ..............

xtdcce2 d.y dp d.gd d.(dp d.gd) , cr(d.y dp d.gd) cr_lags(0 3 3) fullsample....see page 15 from you slides

[JanDitzen]

Apologies, I overlooked this post. Can you please update xtdcce2 to the beta of version 1.34. To do so, please type the following:

net install xtdcce2134 , from(http://www.ditzen.net/Stata/xtdcce2_beta) replace

You can then call the command line from above with:

xtdcce2134 d.y dp d.gd d.(dp d.gd) , cr(d.y dp d.gd) cr_lags(0 3 3) fullsample

Hope this helps.

Jan

[marwan Alssadek]

Many thanks...............What is the Stata code for the CD test for each model specifications as Kamiar Mohaddes did and you it was appeared in the Tavnle regression... I have done : predict PMG or MG , then xtcd PMG or MG...However, the CD test is still so high ...

Regards,
Marwan

[JanDitzen]

As I wrote in another post (https://www.statalist.org/forums/for...nal-dependence), xtdcce2 automatically calculates the CD test statistic, thus there is not need to predict the residuals. What is the exact command line before you do the test?

[marwan Alssadek]

What about if you run PMG or MG .......What I should do.......I want to compare the results of both

[JanDitzen]

Which command do you use to run pmg or mg?

[marwan Alssadek]

Hi Jan,

Sorry , I was I away from Stata list due to forgotten paswoard............Anyway, I do not know which Stata commad for CD test was used by kamiar mohaddes. I have used the following command,

predict MG or PMG

then,

xtcd MG or PMG .........The results were completely different from kamiar mohaddes's paper. do you know which Stata command they have used....

Regards,
Marwan