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Re: st: Re: panel unit root tests


From   James Shaw <james_shaw2004@yahoo.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Re: panel unit root tests
Date   Sat, 12 Mar 2005 11:57:46 -0800 (PST)

Thanks for the prompt response.  I was not really sure
what the "lags" option meant when used with levinlin. 
My understanding of the unit root test is that it
boils down to a test on the AR parameter(s) in a
dynamic model.  The simplest such model would be: y =
By_i(t-1).  Since "lags(0)" is a valid option, I was
not sure that "lags(2)" would give me what I wanted. 
That is, my presumption was that "lags(0)" would test
the AR parameter for a first-order autoregressive
model.  

--
Jim
  

--- Ricardo Gonçalves Silva <ricardogs@terra.com.br>
wrote:
> Hi,
> 
> No, you cannot perform the joint test, since, under
> H0, the test statistics 
> does not have a standard distribution.
> In fact, to test  H0:  B1 + B2 = 0 vs. H1: B1 + B2 <
> 0, you must type 
> levinlin, lags(2), for the Levin et al. (2002) test.
> 
> Rick
> ----- Original Message ----- 
> From: "James Shaw" <james_shaw2004@yahoo.com>
> To: <statalist@hsphsun2.harvard.edu>
> Sent: Saturday, March 12, 2005 2:10 PM
> Subject: st: panel unit root tests
> 
> 
> > 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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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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