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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   Mon, 2 Nov 2009 15:50:03 -0800

> 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.
>
>> 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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