st: Re: some more questions on panel regressions

[Jeannette Wicks-Lim <janetlim@econs.umass.edu>]

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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