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Re: st: RE: xtunitroot ips gives blank results


From   Scott Merryman <scott.merryman@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: xtunitroot ips gives blank results
Date   Wed, 22 Sep 2010 13:14:57 -0500

A couple points.

First, since all the statistics are reported as missing try -set trace
on- (of course, there are no pvalues reported for t-bar and
t-tilde-bar, see example 4,  page 536 [xt] xtunitroot).  Second, the
reason the command reports "(Not available)" is that your data set is
unbalanced.  From page 536 [xt] xtunitroot,  paragraphs 2 and 3:

"First, we consider the serially uncorrelated case, which xtunitroot
assumes when you do not specify the lags() option.... For the case
where N is fixed, IPS used simulation to tabulate “exact” critical
values for the average of the ti statistics when the dataset is
balanced; these critical values are not available with unbalanced
datasets."

The "(Not available)"  result can be seen with:

webuse grunfeld,clear
xtunitroot ips invest
drop in 1
xtunitroot ips invest

Scott


On Wed, Sep 22, 2010 at 11:51 AM, Ben Gilbert <bgilbert10@yahoo.com> wrote:
> Thank you for your comments, Nick.
>
> I always look in the help file and manual first, then scour the stata-list archives on the WEB as well as other sources so as not to clutter the list with questions. In this case the manual and help files are not that helpful for this error.
>
> The command I typed was xtunitroot ips -depvar-
> After the command runs I get a table of blank results, formatted just as the xtunitroot output should look but with no test statistics and a Not Available message where the critical values usually display.
>
> I'm running Stata MP 11 for windows (64-bit), and as I said I have a large unbalanced panel (N=10,000, T ranges from 52 to 292) but no missing observations.
>
> Any suggestions would be greatly appreciated.
> Thanks in advance!
> Ben

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