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Re: st: Test for unit root processes


From   "Joao Ricardo F. Lima" <jricardofl@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Test for unit root processes
Date   Sat, 19 Jul 2008 15:57:12 -0300

Carola,

I think you want a unit root test for panel data, oks?

Then try - findit madfuller (net install madfuller)

TITLE
      'MADFULLER': module to perform Dickey-Fuller test on panel data

DESCRIPTION/AUTHOR(S)

      madfuller performs the multivariate augmented Dickey-Fuller panel
      unit root test (Sarno and Taylor, 1998; Taylor and Sarno, 1998)
      on a variable  that contains both cross-section and time-series
      components.  The test applies Zellner's seemingly unrelated
      equation estimator (sureg) to N equations, defined for the N
      units of the panel. Each equation is specified as a k-th order
      autoregression. The test involves testing the hypothesis, for
      each equation, that the sum of the coefficients of the
      autoregressive polynomial is unity. The null hypothesis consists
      of the  joint test that this condition is satisfied over the N
      equations. Under the null hypothesis, all of the series under
      consideration are realizations of I(1), or nonstationary,
      stochastic processes.

      KW: panel data
      KW: time series
      KW: unit root
      KW: Dickey-Fuller

      Requires: Stata version 7.0 and file command


      Author: Christopher F Baum, Boston College
      Support: email  baum@bc.edu


2008/7/19, Carola Herrera <herrera.carola@yahoo.com>:
> Hello,
>
> I'd be grateful if somebody could tell me how to do a PANEL test for unit
> root processes in STATA8.  I have a TSCS dataset.
>
> Thank you
>
> Sincerely,
> Carola Herrera
>
>
>
>
> *
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> *   http://www.stata.com/help.cgi?search
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> *   http://www.ats.ucla.edu/stat/stata/
>


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