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st: re: hadrilm vs xtfisher


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: re: hadrilm vs xtfisher
Date   Sun, 22 Mar 2009 20:49:38 -0400

<>
Carlos said

I have a question regarding two tests for panel unit root :
When is it ok to rely on the hadrilm test (null hypothesis: all panels
have stationary time series) as opposed to t
he xtfisher (Maddala-Wu) (null: all panels have nonstationary time series)?

Or is it htat the hardrilm is not a test for unit roots while the xtfisher is?


These tests, hadrilm vs. xtfisher, stand in the same relation as the KPSS test (findit kpss) and Dickey-Fuller type tests (help dfuller, help dfgls). The D-F null, for a single timeseries, is that of I(1), reject implies I(0). The KPSS test has a null of I(0), reject implies I(1) (or I > 0, strictly speaking). Panel unit tests may be set up the same way, where you assume all series are I(1), all series are I(0), or somewhere in between (e.g. at least one of the series is not I(1)).

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



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