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Re: st: re: unit root test for panels


From   "Joao Ricardo F. Lima" <jricardofl@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: re: unit root test for panels
Date   Fri, 2 May 2008 11:38:17 -0300

Kit,

Claude has 179 firms and only 2 years. Then, T < N. With T < N, sureg
doesnīt work. In this case, levinlin test is more appropriate. Isnīt
it?

Thanks for your advice!

Joao Ricardo Lima

2008/5/1 Kit Baum <baum@bc.edu>:
> 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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>



-- 
-------------------------------
Joao Ricardo Lima
Professor
UFPB-CCA-DCFS
+553138923914
-------------------------------

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