Stata The Stata listserver
[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

st: -xtfisher- package available


From   [email protected]
To   [email protected]
Subject   st: -xtfisher- package available
Date   Tue, 14 Dec 2004 15:25:09 -0600

Thanks to Kit Baum, a new package, -xtfisher-, is available from the SSC archive. 
The program computes a unit root test for panel data based on combining the p-values
of independent unit root tests, as developed by Maddala and Wu (1999) though
literature on this issue goes back to Tippett (1931) and Fisher (1932). 
Unlike the Im-Pesaran-Shin (2003) test, Fisher's test does not require a balanced panel.

Bug reports and suggestions may be e-mailed to me.

Scott


Fisher, R.A. (1932). Statistical Method for Research Workers, Oliver and Boyd, Edingurgh,
4th ed.

Kyung So Im, M. Hashem Pesaran, Yongcheol Shin. (2003). 'Testing for Unit Roots in Heterogeneous
Panels', Journal of Econometrics, 115, 53-74. 

Maddala, G.S. and Wu, Shaowen. (1999). 'A Comparative Study of Unit Root Tests With Panel 
Data and A New Simple Test',  Oxford Bulletin of Economics and Statistics 61, 631-652.

Tippett, L.H.C. (1931). The Methods of Statistics, Williams and Norgate, London, 1st ed.



*
*   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/



© Copyright 1996–2024 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index