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st: Re: unit root test for panel data


From   "Gaetano Coletta" <gaetano.coletta@casaccia.enea.it>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Re: unit root test for panel data
Date   Tue, 20 Sep 2005 11:53:06 +0200

You have first to install the commands levinlin and ipshin on your stata version typing "ssc install levinlin", for example.
Then, to estimates the panel unit root test developed by Levin, Lin and Chu (LLC, 2002) for the variablle lfdi you have just to type a line like this
"levinlin lfdi, lag(1)"

Bye,
Gaetano

----- Original Message ----- From: "Ping Zheng" <P.Zheng@leeds.ac.uk>
To: <statalist@hsphsun2.harvard.edu>
Sent: Tuesday, September 20, 2005 11:39 AM
Subject: st: unit root test for panel data



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.

Many thanks for your help
Ping

tsset id year, yearly
panel variable: id, 1 to 28
time variable: year, 1984 to 2002

. edit
- preserve

. 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);

. edit
- preserve

. update query
(contacting http://www.stata.com)
connection timed out -- see help r(2) for troubleshooting
http://www.stata.com did not respond or is not a valid update site
r(2);

. update

Stata executable
folder: L:\win32apps\stata9\
name of file: wsestata.exe
currently installed: 22 Apr 2005

Ado-file updates
folder: L:\win32apps\stata9\ado\updates\
names of files: (various)
currently installed: 04 May 2005

Recommendation
Type -update query- to compare these dates with what is available
from
http://www.stata.com.

Click to edit automatic update checking preferences
------------------------------------------------------------------------
----------------------------------

. levinlin
unrecognized command: levinlin
r(199);

. ipshin
unrecognized command: ipshin
r(199);

. madfuller
unrecognized command: madfuller
r(199);

.



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