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st: Unit root tests for unbalanced data panels in Stata


From   "Gindo Tampubolon" <gindo.tampubolon@man.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   st: Unit root tests for unbalanced data panels in Stata
Date   Thu, 12 Aug 2004 09:25:31 +0100

Hi all,

since this questions come up quite often in Stata list, may I suggest Maddala&Wu 
1999, esp p 636ff? It has the virtue of simplicity and one can probably do it by hand.

Maddala & Wu 1999. A comparative study of unit root tests with panel data and a 
new simple test. Ox. Bull. Ec. Stats. Special Issue.

Gindo


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

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

Dr. Gindo Tampubolon
gindo.tampubolon@man.ac.uk
International Data Service - 
Economic and Social Data Services (Funded by ESRC & JISC)
- and -
Department of Sociology
University of Manchester
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