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RE: st: testing for stationarity in unbalanced panels


From   "Jason Yackee" <jyackee@law.usc.edu>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: testing for stationarity in unbalanced panels
Date   Wed, 16 Aug 2006 09:27:00 -0700

David, thank you much for the suggestion.
 
Jason Yackee

________________________________

From: owner-statalist@hsphsun2.harvard.edu on behalf of davche@brandeis.edu
Sent: Wed 8/16/2006 3:57 AM
To: statalist@hsphsun2.harvard.edu
Subject: Re: st: testing for stationarity in unbalanced panels



Hi Jason,

You might want to try -xtfisher-. It's a panel unit root test, proposed by
Maddala and Wu (1999), and it works with unbalanced panels.

Regards,
David Cheong
Brandeis University
Soon to be Assistant Professor at Johns Hopkins SAIS Bologna Center
Website: http://people.brandeis.edu/~davche

Jason Webb Yackee wrote -
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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