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st: xtfisher vs pescadf results


From   "Olga Gorbachev Melloni" <olga_gorbachev@hotmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: xtfisher vs pescadf results
Date   Sun, 10 Sep 2006 14:17:44 -0400

Dear Stata users,

I am confused. I am trying to run a panel unit root test and I am getting different results from xtfisher and pescadf. Why is that? I am attaching an output below that compares the two.

Can somebody point me to the potential mistake? I need to run panel unit root test that allows for cross sectional dependence, thus pescadf would be my choice, but I am not understanding the output correctly it seems.

thank you,
___________________________________________________________________

webuse grunfeld,clear

pescadf invest, trend lag(1)

Pesaran's CADF test for invest
Cross-sectional average in first period extracted and extreme t-values truncated
Deterministics chosen: constant & trend

t-bar test, N,T = (10,20) Obs = 180
Augmented by 1 lags (average)

t-bar cv10 cv5 cv1 Z[t-bar] P-value
-2.203 -2.740 -2.880 -3.150 0.241 0.595

____________________________________________________________________
xtfisher invest, trend lag(1)

Fisher Test for panel unit root using an augmented Dickey-Fuller test (1 lags)

Ho: unit root

chi2(20) = 55.2784
Prob > chi2 = 0.0000

*** based on this output I would accept unit root under xtfisher but reject under pescadf
____________________________________________________________________
pescadf invest, lag(1)

Pesaran's CADF test for invest
Cross-sectional average in first period extracted and extreme t-values truncated
Deterministics chosen: constant

t-bar test, N,T = (10,20) Obs = 180
Augmented by 1 lags (average)

t-bar cv10 cv5 cv1 Z[t-bar] P-value
-2.242 -2.210 -2.340 -2.600 -1.572 0.058


____________________________________________________________________
xtfisher invest, lag(1)

Fisher Test for panel unit root using an augmented Dickey-Fuller test (1 lags)

Ho: unit root

chi2(20) = 13.8730
Prob > chi2 = 0.8369

*** based on this output I would accept unit root under pescadf but reject under xtfisher

whats going on? I used also the nodemean with pescadf, but the results were the same.


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