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

To |
statalist@hsphsun2.harvard.edu |

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

Date |
Thu, 18 Nov 2004 18:38:53 -0500 |

Hi Nick, Thanks for clarifying your response. What I find puzzling is that the lngap is behaving relatively similarly to lnq5 rather than lnmin1, since lnmin1 is nonstationary. Isn't it unusual for a ratio of a nonstationary and stationary variable to be stationary? Thanks! J -- Jeannette Wicks-Lim Department of Economics University of Massachusetts, Amherst Amherst, MA 01003 Quoting Nick Cox <n.j.cox@durham.ac.uk>: > 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/ > * * 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: Re: RE: questions about stationarity test results using IPSHIN***From:*"Nick Cox" <n.j.cox@durham.ac.uk>

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