st: Validity of panel unit root tests

[Neesha Harnam <neesha.harnam@gmail.com>]

Hi,

I have a set of variables for which I would like to check for
non-stationarity (these are in panel data form, with 31 years and 70
countries worth of data). As there are some unbalanced panels in my
dataset I am using IPS and Fisher (ADF) tests to conduct these checks.
I have looked at the individual data plots for each country for each
variable to determine if there is a trend, and have run these tests
both with and without cross-sectional demeaning. I will be running
country-fixed effects regressions on these data.  My questions are as
follows:

a. What is the validity of the Fisher test when it says could not
compute test for panel 6, 12, 15, etc.?
b. I understand that demeaning is used when cross-sectional dependence
is thought to occur in the data, but is there any way to test for
cross-sectional dependence? Likewise, is there any way to test for a
time trend, or is it based on visual inspection of plots / empirical
evidence?
c. Which p-value of the Fisher test is valid for finite panels?
d. Is it possible to run Fisher-ADF in Stata using AIC-selected lag lengths?


Thank you very much,
Neesha

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