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st: levinlin


From   baum <baum@bc.edu>
To   StataList <statalist@hsphsun2.harvard.edu>
Subject   st: levinlin
Date   Mon, 21 Oct 2002 18:51:19 -0400

The levinlin routine, which performs the Levin, Lin, Chu (2002) panel unit root test, has been extensively reworked following discovery of several large and small errors in the code by Gene Liang of eViews, who most generously provided us with sample output against which to validate our code. Remaining errors are our own (but we're sure they are fewer now!). The help file has been updated to reference the publication of this test (after a gestation period lasting from May 1992--surely a record!) in Journal of Econometrics, 2002, and comments have been placed in the code referencing the derivation in the article.

The routine may be downloaded from ssc. If you have a copy of the earlier routine, please replace it with the new version.

Kit Baum and Fabian Bornhorst

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