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From |
Jeannette Wicks-Lim <janetlim@econs.umass.edu> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: Re: RE: questions about stationarity test results using IPSHIN |

Date |
Thu, 18 Nov 2004 17:45:35 -0500 |

Hi,

Maybe I'm misunderstanding the results ( I am a real novice re: time series issues). I thought that the t-bar being further from zero for lngap indicates that it is stationary (more negative then the cv1). Is that incorrect?

Thanks!

J

----- Original Message ----- From: "Nick Cox" <n.j.cox@durham.ac.uk>

To: <statalist@hsphsun2.harvard.edu>

Sent: Thursday, November 18, 2004 5:35 PM

Subject: st: RE: questions about stationarity test results using IPSHIN

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-LimI'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 . .* * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

* * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**References**:**st: RE: questions about stationarity test results using IPSHIN***From:*"Nick Cox" <n.j.cox@durham.ac.uk>

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