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st: Re: some more questions on panel regressions


From   Jeannette Wicks-Lim <janetlim@econs.umass.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: Re: some more questions on panel regressions
Date   Mon, 22 Nov 2004 09:05:17 -0500

In response to question 2:

The IPSHIN (Im-Pesaran-Shin) panel unit root test is available in STATA. Here's the website to download the STATA module for it:
http://ideas.repec.org/c/boc/bocode/s419704.html

And here's description:

"ipshin estimates the t-test for unit roots in heterogeneous panels developed by Im, Pesaran and Shin (IPS, 1997). It allows for individual effects, time trends, and common time effects. Based on the mean of the individual Dickey-Fuller t-statistics of each unit in the panel, the IPS test assumes that all series are non-stationary under the null hypothesis. Lags of the dependent variable may be introduced to allow for serial correlation in the errors. The exact critical values of the t-bar statistic are given in IPS. After transformation by factors provided in the paper (available for no more than 8 lags on any series), the Psi[t-bar] statistic is distributed standard normal under the null hypothesis of nonstationarity."

I believe there are other tests available but I am not familiar with them.

Hope this helps,
J


----- Original Message ----- From: "Indradeep Ghosh" <indradeepg@hotmail.com>
To: <statalist@hsphsun2.harvard.edu>
Sent: Sunday, November 21, 2004 11:54 AM
Subject: st: some more questions on panel regressions



hi all
thanks for the responses to my earlier post on "two way error components model"
i have two questions :
1) why does stata not allow the robust option with any of the XTREG commands? must i use XTGLS? my only problem with using XTGLS is that if i have a fixed effects specification, i lose too many degrees of freedom for XTGLS to work
2) does stata offer unit root and cointegration tests for panel data?
thanks again
deep


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