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st: ipshin


From   baum <baum@bc.edu>
To   StataList <statalist@hsphsun2.harvard.edu>
Subject   st: ipshin
Date   Sun, 07 Jul 2002 09:30:51 -0400

The ipshin (Im-Pesaran-Shin panel unit root test) routine of Bornhorst and Baum has been corrected for a flaw in its calculations. Using the default cross-sectional demeaning, the ADF-like regressions run with positive lags were not augmented by the proper lagged values. Thanks to Gene Liang of QMS for bringing this to our attention, and providing benchmark values.

The revised version of ipshin is available from SSC via ssc install ipshin.

Thanks
Kit Baum
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