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st: unit root tests in panels with cross-section dependence [was: none]


From   nicola.baldini2@unibo.it
To   statalist@hsphsun2.harvard.edu
Subject   st: unit root tests in panels with cross-section dependence [was: none]
Date   Sun, 09 Mar 2008 11:10:22 +0100

You may increase your chance to get an answer by:
1) choosing a title (and possibly, an informative one) for your e-mail
2) citing appropriate references fully
3) asking for a Stata- more than a statistics-related question (if you know the name of the "new tests" and tell us, it would help Statalist members to help you)
Having remarked that, I think -pescadf- from SSC may be what you asked for. If it's not, please read the Statalist FAQ before reposting.

Nicola

At 02.33 06/03/2008 -0500, Sabria Regraguimazili wrote:
>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? 

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