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st: RE: unit root test for panel data


From   "Nick Cox" <n.j.cox@durham.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: unit root test for panel data
Date   Tue, 20 Sep 2005 10:58:04 +0100

The help for -dfuller- explains that just one 
variable should be specified. I'm no expert 
but it appears that -dfuller- cannot be applied 
to panel data. 

As for your report that -levinlin- and -ipshin- 
"didn't work", it appears that you have not yet 
installed these programs, which are not part of 
official Stata. 

I suggest a thorough study of the Statalist
FAQ and of its recommendations. In particular, 
the -ssc- command is useful for installing many 
user-written commands. 

Nick 
n.j.cox@durham.ac.uk 

Ping Zheng
 
> By following the suggestions from the people, tsset has been done
> firstly, then I've tried several ways to do unit root test but
> unsuccessful (please see below). what is the commands for 
> dfuller test?
> I've also tried "levinlin", "ipshin", but didn't work either.
> 
>  tsset id year, yearly
>        panel variable:  id, 1 to 28
>         time variable:  year, 1984 to 2002
>  
  
> . dfuller
> varlist required
> r(100);
>  
> . dfuller  lfdi lex lim
> too many variables specified
> r(103);
>  
> . dfuller lfdi
> sample may not include multiple panels
> r(459);
>  
> . dfuller lfdi lex
> too many variables specified
> r(103);
 
> . levinlin
> unrecognized command:  levinlin
> r(199);
>  
> . ipshin
> unrecognized command:  ipshin
> r(199);
>  
> . madfuller
> unrecognized command:  madfuller
> r(199);

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