radf command BSADF sequence graph into numerical values

[Leonie Barton]

Hello,
I would have a question about the radf command. When computing this test there is a graph option that shows the underlying BSADf sequence. I would need to get this BSADF sequence in numerical values, could someone advise me on how to do this?

Thank you

[William Lisowski]

The output of

help radf

tells us

    graph specifies that the timeseries of the SADF and BSADF statistics, which can be
        saved as variables with the prefix() option, should be graphed along with their
        90% and 95% critical values.

and

    prefix can be used to provide a `stub' with which variables created in radf will be
        named if no more than 600 observations are in the specified sample. If this
        option is given, four Stata variables will be created for the appropriate range
        of dates:  prefix_SADF, prefix_BSADF, prefix_BSADF_95 and prefix_Exceeding.
        These variables record the SADF and BSADF statistics, with the third variable
        displaying the 95% critical values for the BSADF statistic, which vary over the
        estimation period.  The fourth variable is an indicator, set to 1 when the BSADF
        statistic exceeds its 95% critical value. The prefix option must be specified to
        enable the graph option.

So presumably the variable you desire has already been added to your dataset by the radf command.

[Sarah Magd]

Dear Mr. William Lisowski ,
My sample has 1566 observations. When I use the radf command, it gives the critical values, but it does not plot the graphs to define the bubbles. Could you please help me figure out the problem?

radf X, maxlag(1)

BSADF critical values and graphs not available for 1566 observations

Right-tail ADF statistics for lhh with first observations 05jan2016 - 03sep2021

Number of obs = 1564 lag selection[FIX] maxlag = 1 window = 86 periods

| Test Tab90 Tab95 Tab99
------+----------------------------------------
ADF0 | -2.2073 -0.3818 -0.0432 0.5935
SADF | 0.1852 1.3346 1.6199 2.1166
GSADF | 4.1099 2.2042 2.3967 2.8555

Test: ADF0, SADF (PWY,2011), GSADF (PSY,2015)
Tab : right-tail tabulated critical values for 90, 95, 99 confidence levels
from Vasilopoulos, Pavlidis, Spavound and Martínez-García (2020)

#######################################
Then, I type the following command

 radf X, maxlag(1) prefix(_t) graph

Unfortunately, after this step, I get the same output as obtained by the previous command without the graphs. Could you please help me with this?

[William Lisowski]

I neither use the radf command nor understand what the radf command does.

I inspected the code in the most recent version of radf available on SSC

. which radf
/Users/lisowskiw/Library/Application Support/Stata/ado/plus/r/radf.ado
*! radf.   v1.10 CFBaum 30jan2022

and learned that the message you received in your output

BSADF critical values and graphs not available for 1566 observations

is why you are not getting graphs: your 1566 observations exceeds a limit of 600 observations.

This limit is not clearly stated in the output of help radf. Further, the discussion of critical values in that help seems to suggest that the critical values are interpolated for between 600 and 2000 observations and are constant beyond 2000 observations. That seems to me to be a contradiction.

The output of help radf gives the authors' names and email addresses; you might want to write to them for clarification. If so, it would be helpful if you were to suggest they post the explanation on this topic so it will be be found by others who search for help with radf.

[William Lisowski]

I see now that in the output of help radf the description of the graph option includes "The graph option is not available if more than 600 observations are included in the specified sample, and requires the use of the prefix() option."

It still seems odd to me, since the error messages refers to both critical values and graphs, and elsewhere in the help documentation reference is made to critical values for more than 600 observations.

I will admit that my lack of knowledge of the goals and objectives of radf may be hampering my interpretation of the help documentation.