Bookmark and Share

Notice: On March 31, it was announced that Statalist is moving from an email list to a forum. The old list will shut down on April 23, and its replacement, statalist.org is already up and running.


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

st: Validity of panel unit root tests


From   Neesha Harnam <neesha.harnam@gmail.com>
To   statalist <statalist@hsphsun2.harvard.edu>
Subject   st: Validity of panel unit root tests
Date   Wed, 28 Sep 2011 22:35:41 -0400

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

*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/


© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   Site index