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st: RE: Re: 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: 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        .         .

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