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st: unit-root tests: xt-fisher, Hadri, ipshin


From   Carlos Rodriguez <carlosrodriguez1993@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: unit-root tests: xt-fisher, Hadri, ipshin
Date   Thu, 29 Oct 2009 12:39:36 -0700

Dear Stata users,

I am a bit confused and I'd very much appreciate your advice and clarification.

I wish to test for unit roots in my time-series cross sectional data
(20 countries, 30 yearly observations for each), but the tests
available in Stata10 provide opposite answers so my question is:
what's the criteria I should follow for choosing among these tests?

According to the xtfisher and the ipshin tests, the null hypothesis of
unit roots is rejected.
But, if I use the Hadri test, instead, the null hypothesis of *no*
unit roots is rejected.
So, if I 'believe" the former, I'd conclude that unit roots are not a
problem in my dataset, but if I "believe" the Hadri trest, I arrive at
the oppostie conclusion.
What should I do?  What test is best/more powerful?

Also, What's in Stata the IPS test recommended by Maddala-Wu?  Is it the ipshin?

Thanks so much
Regards,

Carlos Rodriguez
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