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st: RE: xtfisher vs pescadf results


From   "Jason Yackee" <jyackee@law.usc.edu>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: xtfisher vs pescadf results
Date   Sun, 10 Sep 2006 11:58:12 -0700

Olga I am no statistician but I thought that for xtfisher, the null
hypothesis is the existence of a unit root; a significant test statistic
means that you can reject the null hypothesis, and thus that there is no
unit root.  Your discussion below suggests that you understand the
interpretation of the xtfisher test to be the opposite.

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Olga
Gorbachev Melloni
Sent: Sunday, September 10, 2006 11:18 AM
To: statalist@hsphsun2.harvard.edu
Subject: st: xtfisher vs pescadf results

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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