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st: RE: questions about stationarity test results using IPSHIN


From   "Nick Cox" <n.j.cox@durham.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: questions about stationarity test results using IPSHIN
Date   Thu, 18 Nov 2004 22:35:47 -0000

Your commentary seems at odds with your results
in that t-bar is further from zero for -lngap- 
than for the other variables. 

Nick 
n.j.cox@durham.ac.uk 

Jeannette Wicks-Lim
 
> I've conducted the IPSHIN test on two variables, one of which 
> appears to be 
> nonstationary (log of the minimum wage, or "lnmin1") and the 
> other appears 
> to be stationary (log of the 5th wage percentile, or "lnq5"). 
> When I create 
> a third variable (log of 5th wage percentile - log of minimum wage, 
> or"lngap"), the IPSHIN test indicates that it is stationary. 
> How can it be 
> that the ratio of a stationary and nonstationary variable is 
> stationary? 
> (Some background info: the panels in this dataset are US 
> states -- all 50, 
> the time points are 6 month intervals over 20 years).
> 
> Here are my results:
> 
> . ipshin lnmin1 if gestcen~=53, lags(17) trend
> 
> Im-Pesaran-Shin test for cross-sectionally demeaned lnmin1
> Deterministics chosen: constant & trend
> 
> t-bar test, N,T = (50,40)         Obs = 1593
> Augmented by 17 lags (average)
> 
>     t-bar     cv10      cv5       cv1   W[t-bar]    P-value
>    -1.456   -2.320    -2.360    -2.440        .         .
> 
> . ipshin lnq5 if gestcen~=53, lags(17) trend
> 
> Im-Pesaran-Shin test for cross-sectionally demeaned lnq5
> Deterministics chosen: constant & trend
> 
> t-bar test, N,T = (50,40)         Obs = 1593
> Augmented by 17 lags (average)
> 
>     t-bar     cv10      cv5       cv1   W[t-bar]    P-value
>    -3.087   -2.320    -2.360    -2.440        .         .
> 
> . ipshin lngap if gestcen~=53, lags(17) trend
> 
> Im-Pesaran-Shin test for cross-sectionally demeaned lngap
> Deterministics chosen: constant & trend
> 
> t-bar test, N,T = (50,40)         Obs = 1593
> Augmented by 17 lags (average)
> 
>     t-bar     cv10      cv5       cv1   W[t-bar]    P-value
>    -3.585   -2.320    -2.360    -2.440        .         .
> 

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