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st: testing for stationarity in unbalanced panels


From   "Jason Yackee" <jyackee@law.usc.edu>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: testing for stationarity in unbalanced panels
Date   Tue, 15 Aug 2006 12:11:52 -0700

Dear Statalisters,
 
 
 
I am using Stata 8.2.  I have severely unbalanced panel data (primarily economic data from the World Bank's World Development Indicators that is unbalanced due to the appearance of various eastern european states in the middle of the series).  I've examined my dependent variable visually using a simple run-sequence plot and I am concerned about non-stationarity.  I've researched the various commands for detecting non-stationarity (hadrilm, madfuller, nharvey, kpss, levinlin) but I cannot get any of them to work with unbalanced panel data.
 
Can someone point me to a command suitable for testing stationarity with unbalanced data?  Let me add that I am upgrading to Stata 9 next week, and I would appreciate any advice on commands that might be supported in that version but not in 8.2.  A version of this question seems to have been asked about six months ago according to the stata list archives, but I did not see that it was ever answered definitively.
 
Thank you in advance,
 
 

Jason Webb Yackee
Fellow
Gould School of Law
University of Southern California
Los Angeles, California 90089-0071
Tel: 213-740-2865
Fax: 213-740-5502
Cell: 919-358-3040
email: jyackee@law.usc.edu
 


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