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st: re; Granger with fixed effect - panel data


From   Kit Baum <kitbaum@mac.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: re; Granger with fixed effect - panel data
Date   Sat, 3 May 2008 14:38:36 -0400

panel unit root tests make absolutely no sense with T=2. You are looking for the long run behavior of a time series, and you have two observations on the time series. No way to do that. After all, even a Dickey-Fuller test on a single time series implies regressing the difference in X on the lagged level of X, and you have precisely one observation for that regression.

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


On May 3, 2008, at 02:33 , statalist-digest wrote:



I tried the levin-lin test. Unfortunately, I get an error message :

. sort id year

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

. levinlin csp, lags(1)

Levin-Lin-Chu test for csp Deterministics chosen: constant
Reducing Andrews truncation
no observations
r(2000);

. describe csp

storage display value
variable name type format label variable label
- ---------------------------------------------------------------------- ---------
csp float %9.0g CSP

Do you have any idea what the problem could be?


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