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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   Sat, 31 Oct 2009 06:29:51 -0700

So, 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.

>Should I first-difference all control variables in additon to the main explanatory one and the dependent variable? What about the binary (1/0) indicators?
>
> 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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>

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