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From |
"Nick Cox" <n.j.cox@durham.ac.uk> |

To |
<statalist@hsphsun2.harvard.edu> |

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

Date |
Thu, 18 Nov 2004 22:59:17 -0000 |

My comment is very simple: put another way, on the t-bar statistics -lnq5- and -lngap- are behaving relatively similarly, whereas -lnmin1- differs from both. No more than that, and no less. The help for -ipshin- makes it clear that to judge significance you need to get results from the original paper. Nick n.j.cox@durham.ac.uk Jeannette Wicks-Lim > 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? Nick Cox > > Your commentary seems at odds with your results > > in that t-bar is further from zero for -lngap- > > than for the other variables. 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 . . * * 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/

**Follow-Ups**:**st: Re: RE: Re: RE: questions about stationarity test results using IPSHIN***From:*Jeannette Wicks-Lim <janetlim@econs.umass.edu>

**Re: st: RE: Re: RE: questions about stationarity test results using IPSHIN***From:*Jeannette Wicks-Lim <janetlim@econs.umass.edu>

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