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

To |
statalist@hsphsun2.harvard.edu |

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

Date |
Fri, 19 Nov 2004 09:28:59 -0500 |

Hi Nick,

One other follow-up question. Why do you say that the original paper is needed to judge the significance of the t-tests? I assumed that the critical values provided are enough and the paper was only needed if you wanted the exact p-values for the t-statistics estimated.

I did follow your suggestion and just graphed a couple of states' series. The plot of -lngap- does look to be stationary with a deterministic trend. And -lnmin1- appears to be nonstationary because it is basically a series with a bunch of structural breaks (each break being a legislated raise in the minimum wage), not the typical erratic movement that I think of when I think of nonstationary series. I guess because of that the ratio between -lnq5- and -lnmin1- is stationary...that's my guess for now!

Thanks again,

J

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

To: <statalist@hsphsun2.harvard.edu>

Sent: Thursday, November 18, 2004 5:59 PM

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

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-LimMaybe 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/

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**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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