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st: Re: Unit root tests for unbalanced data panels in Stata


From   Kit Baum <baum@bc.edu>
To   "Salvati, Jean" <JSalvati@imf.org>
Subject   st: Re: Unit root tests for unbalanced data panels in Stata
Date   Wed, 11 Aug 2004 15:41:45 -0400

Dear Jean
This question comes up from time to time on Statalist. I do not believe that any of those routines will work with unbalanced panels. Some of the underlying analytics for some of the tests may be compatible with unbalanced panels (or at least timeseries without gaps) but none of the routines {hadrilm, ipshin, levinlin, madfuller, nharvey} are implemented to allow for unbalanced panels.
Thanks
Kit Baum

On Aug 11, 2004, at 3:06 PM, Salvati, Jean wrote:


Dear Mister Baum,

I work at the IMF, in the Econometric Support group. I saw in Sata's online help that you have written several ado files to perform unit root tests on panel data. Do these programs work with unbalanced panels? If not, do you know any program that supports unbalanced panels?

Thanks a lot.

Best regards,

Jean Salvati
Econometric Support
(202) 623-7804
IS 12-1328
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