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st: re: unit root test for panels


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: re: unit root test for panels
Date   Thu, 1 May 2008 08:31:41 -0400

Claude said


I am trying to do an Augmented Dickey-Fuller test for covariance
stationarity on a panel. I understand that panelunit can do this. Could
anybody tell me what the syntax should be? As you can see below, panelunit
should be installed on my computer but STATA does not seem to recognize the
command. Also, I am not able to find panelunit.ado on my computer. I used
"ssc install panelunit" and the installation seemed to have gone through
correctly.


. sort id year

. tsset id year
panel variable: id (strongly balanced)
time variable: year, 2004 to 2005

. dfuller csp
sample may not include multiple panels
r(459);

. panelunit csp
unrecognized command: panelunit
r(199);




First of all -panelunit- is no longer necessary unless you are running an older version of Stata. It was a hack to permit -dfuller-, -pperron- and -dfgls- to work on a single time series within a panel, which was always technically feasible, but not implemented in official Stata's commands. StataCorp has in the meanwhile implemented those fixes. There is no -help panelunit- because the commands dfuller2, pperron2 and dfgls2 worked exactly as their official versions did, with this one added capability (which was literally one line of code).

Second, being able to access a single time series within a panel for unit root testing does not a "panel unit root test" make. For that, as other respondents have indicated, you might use -madfuller-. Or you might -findit panel unit root test- to explore the menu of alternatives.

Kit

Kit Baum, Boston College Economics and DIW Berlin
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html


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