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


From   Carlos Rodriguez <carlosrodriguez1993@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: unit-root tests: xt-fisher, Hadri, ipshin
Date   Thu, 29 Oct 2009 20:18:53 -0700

Thanks so much for your response Scott.

I see.  I did not know the null hypothesis for the Fisher was that
"ALL the panels have unit roots".  Yes, I could conclude what you
suggest.

And then, even if some panels have unit roots but not all, would it be
fine if I run the regression in first-differences to address the issue
of unit roots? Or is this not advisable when not all panels have unit
roots.

Thanks again
Carlos
On Thu, Oct 29, 2009 at 7:09 PM, Scott Merryman
<scott.merryman@gmail.com> wrote:
> 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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