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st: panel unit root tests


From   James Shaw <james_shaw2004@yahoo.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: panel unit root tests
Date   Sat, 12 Mar 2005 09:10:50 -0800 (PST)

Everyone,

I have a dynamic panel data model that is specified as
follows:

y_it = B0 + B1y_i(t-1) + B2yi(t-2) + ... + A_i + u_it

Using appropriate estimators for this model
(Arellano-Bond, Anderson-Hsiao), I am getting very
large estimates for the autoregressive parameters, B1
and B2.  In fact, the sum of the estimates for B1 and
B2 approaches 1.0.  I believe that one could formally
test H0:  B1 + B2 = 0 vs. H1: B1 + B2 < 0 using a
panel data unit root test, such as that described by
Levin et al. (2002), which is implemented in Stata as
LEVINLIN.  Assuming this is correct, what would the
appropriate command line be?  For example, "levinlin
y, lag(0)" or "levilin y, lag(2)."  Alternatively,
maybe the problem is easier than I imagine and I could
simply perform a joint test of the estimates for B1
and B2 to see if they are equal to 1.0.

--
Jim





then how would I would

James W. Shaw, Ph.D., Pharm.D., M.P.H.
Post-Doctoral Fellow
Tobacco Control Research Branch
Behavioral Research Program
Division of Cancer Control and Population Sciences
National Cancer Institute
Tel.:  215-852-3045
Fax:  215-542-7150


		
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