Kit,
Claude has 179 firms and only 2 years. Then, T < N. With T < N, sureg
doesn�t work. In this case, levinlin test is more appropriate. Isn�t
it?
Thanks for your advice!
Joao Ricardo Lima
2008/5/1 Kit Baum <[email protected]>:
> 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
>
>
> *
> * For searches and help try:
> * http://www.stata.com/support/faqs/res/findit.html
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
>
--
-------------------------------
Joao Ricardo Lima
Professor
UFPB-CCA-DCFS
+553138923914
-------------------------------
*
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