How to extract coefficients from saved results in "cointreg" package?

[Santosh Dash]

Dear all,

I am using -cointreg- from SSC in Stata 14. I have a panel dataset. However, I'm estimating FMOLS for each country/id.
The command - cointreg - saves its results in e(). The coefficient vector is stored in e(b). The FMOLS gives a long-run coefficient and intercept.


. cointreg gcf gds if id==1, est(fmols) eqtrend(0) vlag(1) kernel(qs) bmeth(andrews) nodivn

Cointegration regression (FMOLS):

VAR lag(user) = 1 Number of obs = 46
Kernel = qs R2 = .2646553
Bandwidth(andrews) = 1.5709 Adjusted R2 = .2479429
S.e. = 3.724559
Long run S.e. = 7.48136

------------------------------------------------------------------------------
gcf | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
gds | .9979715 .2491818 4.00 0.000 .5095841 1.486359
_cons | -1.91057 5.525475 -0.35 0.730 -12.7403 8.919162
------------------------------------------------------------------------------

. eret li

scalars:
e(N) = 46
e(r2) = .2646552666919184
e(r2_a) = .2479428863894621
e(rmse) = 3.724559297317706
e(lrse) = 7.481359939435503
e(rss) = 610.3830462063735
e(tss) = 830.0638034904455
e(eqtrend) = 0
e(xtrend) = 0
e(bwidth) = 1.5708772426484
e(vlag) = 1

macros:
e(cmd) : "cointreg"
e(cmdline) : "cointreg gcf gds if id==1, est(fmols) eqtrend(0) vlag(1) kernel(qs) bmeth(a.."
e(est) : "fmols"
e(vic) : "user"
e(bmeth) : "andrews"
e(kernel) : "qs"
e(properties) : "b V"
e(depvar) : "gcf"

matrices:
e(b) : 1 x 2
e(V) : 2 x 2

In order to export results to a spreadsheet, I use "runby" command. I want to extract both the coefficients ( gds and con in the above table). For this I write the following programme:

clear all
program my_results
  tsset year
  cointreg gcf gds, est(fmols) eqtrend(0) vlag(1) kernel(qs) bmeth(andrews) nodivn
  gen adj_r2=`e(r2_a)'
  gen method="`e(est)'"
  gen N=`e(N)'
  gen coef_gds=`e(b_1)'
  gen coef_con=`e(b_2)'
  keep in 1
 end

However, there is something wrong with generating the coefficients in the above program. It is because I do not know how to generate.
I also want to extract corresponding t-stats and p-values of both the coefficients. How to generate them?

I would be grateful if you can kindly help me.

Thank you in advance.

[Andrew Musau]

Because this is an estimation command, I would use esttab from Stata Journal. This is not tested as I have not installed the command.

tempfile data
save `data'
levelsof id, local(ids)

foreach id in `ids'{
keep if id==`id'
cointreg gcf gds, est(fmols) eqtrend(0) vlag(1) kernel(qs) bmeth(andrews) nodivn
eststo est`id'
use `data', clear
}

esttab est* using myfile.csv, stats(N r2)

[Santosh Dash]

Thank you for your reply. I ran your code as follows:

use wdi_fhp
levelsof id, local(ids)

foreach id in `ids'{
keep if id==`id'
cointreg gcf gds, est(fmols) eqtrend(0) vlag(1) kernel(qs) bmeth(andrews) nodivn
eststo est `id'
use `wdi_fhp', clear
}
*
esttab est* using myfile.csv, stats(N r2)

Stata returned the following error:
estimation result est* not found
r(111);

With regard to my question in #1, there is a simple way to generate coefficients and its corresponding standard errors.

clear all
program my_results
  tsset year
  cointreg gcf gds, est(fmols) eqtrend(0) vlag(1) kernel(qs) bmeth(andrews) nodivn
  gen adj_r2=`e(r2_a)'
  gen method="`e(est)'"
  gen N=`e(N)'
  gen lrc=_b[gds]
  gen lrc_se=_se[gds]
  gen lrc_z=lrc/lrc_se
  keep in 1
 end

This code works fine. However, I'm struggling to generate p-values of the coefficient.
I was trying this code:

gen p_value=2 * ttail(e(df_r), abs(_b[gds]/_se[gds])))

However, -cointreg- does not retrun e(df_r).

Can you kindly help me?
Thank you.

[Santosh Dash]

In #3, I asked about generating p-values. I could fix it now. I did not recognise that the distribution is z-distribution, while the code i was trying was for t-distribution.
However, with regard to esstab, I am not able to do.

I also tried with the outreg2 command:

foreach i of numlist 1/8 {
tab ic country if id==`i'
cointreg gcf gds if id==`i', est(fmols) eqtrend(0) vlag(1) kernel(qs) bmeth(andrews) nodivn
outreg2 using ABC, excel dec(3) br
}
*

It is creating the following error:
file ABC.xml is read-only; cannot be modified or erased
The file needs to be closed if being used by another software such as Excel.
r(608);


However, if I am removing the word "excel" in the outrge2 line in the loop, all the results are coming nicely in a text file. However, I WANT TO EXPORT RESULTS TO A SPREADSHEET.

I would be grateful if you can kindly help me with this.

[Andrew Musau]

Stata returned the following error:
estimation result est* not found
r(111);

use wdi_fhp
tempfile data
save `data'
levelsof id, local(ids)
foreach id in `ids'{
keep if id==`id'
cointreg gcf gds, est(fmols) eqtrend(0) vlag(1) kernel(qs) bmeth(andrews) nodivn
eststo est `id'
use `data', clear
}
esttab est* using myfile.csv, stats(N r2)

It is creating the following error:
file ABC.xml is read-only; cannot be modified or erased
The file needs to be closed if being used by another software such as Excel.
r(608);

You probably have a file with the same name open somewhere which you need to close before running the program. In any case, if you are taking lags, you have to be careful when using the if qualifier as the lag term under tsset does not recognize the panel structure of your data.