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


From   Scott Merryman <scott.merryman@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: unit-root tests: xt-fisher, Hadri, ipshin
Date   Thu, 29 Oct 2009 21:09:15 -0500

On Thu, Oct 29, 2009 at 2:39 PM, Carlos Rodriguez
<carlosrodriguez1993@gmail.com> wrote:
> 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.

In all the panels

> But, if I use the Hadri test, instead, the null hypothesis of *no*
> unit roots is rejected.

In all the panels.

That is in the Fischer test:
Ho: All panels contain unit roots
Ha: At least one panel is stationary

and in the Hadri LM test:
Ho: All panels are stationary
Ha: Some panels contain unit roots

So couldn't you conclude that some panels, but not all, contain a unit root?

Scott
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