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st: Panel unit root tests


From   "Jan Teorell" <[email protected]>
To   [email protected]
Subject   st: Panel unit root tests
Date   Mon, 13 Dec 2004 15:23:58 +0100

Hi stata-listers!

Anyone out there aware of a program/module that implements the 
Maddala & Wu (1999) unit root test for panel data? Thus far I have 
found three panel unit root tests implemented in Stata: ipshin, levlin 
and madfuller. All of these, however, require balanced panels (that 
is, the same T for all N) with no gaps in the data -- a highly 
restrictive requirement for most interesting real-world applications. 
At least in theory, the Maddala & Wu-test should cope with these 
problems.

Jan Teorell
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