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From   Sabria Regraguimazili <sabria.regraguimazili@st-annes.ox.ac.uk>
To   stata <statalist@hsphsun2.harvard.edu>
Date   Wed, 05 Mar 2008 14:47:52 +0000

Hi,

I estimated a seemingly unrelated regression on a six-country panel for 1975-
2005. As I suspect some non-stationarity I included a time trend and would like 
to carry out a panel unit root test on the residuals. But because my panel has 
cross-section dependence, classical panel unit root tests like Im, Pesaran and 
Shin (1997) will have serious size distortions. Has anyone ever implemented one 
of the new panel unit root tests that allow for cross-section dependence in 
STATA?

Thanks a lot!
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