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st: ipshin and serial correlation


From   Federica Maiorano <federica_maiorano@yahoo.it>
To   statalist@hsphsun2.harvard.edu
Subject   st: ipshin and serial correlation
Date   Thu, 7 Apr 2005 15:45:43 +0200 (CEST)

Dear all,

I am using the ‘ipshin’ procedure to test for unit
roots in panel data (28 firms over 14 time periods)
for variables such as log of output, log of labour
hours, etc.

However, I am not very clear on how to specify lags.
For instance, testing for I(1) in the case of no
serial correlation (constant, no trend): 
in order to estimate equation dy(i,t) = a(i) +
b(i)*y(i,t-1) + e(i,t) – where dy(i,t) is y(i,t) –
y(i, t-1) - shall I specify lag = 0? 

Also, I am not sure whether my sample size is
sufficient for the case of serially correlated errors.


I would be very grateful if you could please help me.
Many thanks in advance.

Federica Maiorano

PhD student
Department of Economics
City University



		
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