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From |
Neesha Harnam <neesha.harnam@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: RE: Panel unit root tests |

Date |
Tue, 4 Oct 2011 19:57:55 +0800 |

Dear Nick Thank you for your response. I have added the Stata commands I used below: a. Is the Fisher-ADF test valid when Statalist generates the message "Stata could not compute test for panels 6, 12, 15, etc.?" I am using the following code for the unemp variable: -xtunitroot fisher unemp, dfuller trend lags(1)- b. What does it mean when one gets the following error message "performing unit-root test on first panel using the syntax..." and returns "error code 2000?" The command I used precisely (for the inequality variable) is as follows: -xtunitroot fisher inequality, dfuller trend demean lags(1)- c. 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? If not, what is the convention? d. Which p-value of the Fisher-ADF test is valid for finite panels? Stata generates p-values for the inverse chi-squared, inverse normal, inverse logit, and modified inverse chi-squared when using the command for the gdppc variable: -xtunitroot fisher gdppc, dfuller trend lags(1)-, and I would like to know which would be appropriate to use given that I have a finite sample. e. Is it possible to run Fisher-ADF in Stata using AIC-selected lag lengths? When running the Im-Pesaran-Shin unit root tests this is possible using the aic specification as follows: xtunitroot ips gdppc, trend lags(aic). However, when I attempt to run a similar command for the Fisher test (xtunitroot fisher gdppc, dfuller trend lags(aic)) I get error code 198. I believe that using the AIC to determine lag length for the Fisher test is possible in EViews, and would like to know how I could do this in Stata. Thanks again, Neesha On Mon, Oct 3, 2011 at 6:11 PM, Nick Cox <n.j.cox@durham.ac.uk> wrote: > Your thread was hijacked, true, but your question was visible nevertheless. A bigger problem is that there is absolutely no detail here on precisely what commands you used and precisely what you typed in Stata. > > Error 2000 does not mean "no data"; it means "no data with which to do precisely what you asked". That could arise because of missing values, -if- or -in- restrictions, string values, or requests which are contradictory and are thus satisfied by no observations in your data. I can't say what is biting in your case. > > Nick > n.j.cox@durham.ac.uk > > > -----Original Message----- > From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Neesha Harnam > Sent: 03 October 2011 11:01 > To: statalist > Subject: st: Panel unit root tests > > Dear all, > > Apologies for reposting, but I did not receive any responses to my > earlier query and thought it may have been because someone hijacked my > thread with a question of their own. I have also rephrased some of my > questions in the event that they were not clear initially, as > suggested by the Statalist FAQ: > > 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 line plots for each country/variable > to determine if there is a time trend, and have run these tests both > with and without cross-sectional demeaning. I am planning on running > country-fixed effects regressions on these data. My questions are as > follows: > > a. Is the Fisher-ADF test valid when Statalist generates the message > "Stata could not compute test for panels 6, 12, 15, etc.?" > > b. What does it mean when one gets the following error message > "performing unit-root test on first panel using the syntax..." and > returns "error code 2000?" A google search revealed that this occurs > when one has no observations, but I do have observations so am unclear > as to what is happening behind the scenes. > > c. 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? > > d. Which p-value of the Fisher-ADF test is valid for finite panels? > Stata generates p-values for the inverse chi-squared, inverse normal, > inverse logit, and modified inverse chi-squared. > > e. 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/ > > * > * 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/ > * * 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/

**Follow-Ups**:**Re: st: RE: Panel unit root tests***From:*Neesha Harnam <neesha.harnam@gmail.com>

**References**:**st: Panel unit root tests***From:*Neesha Harnam <neesha.harnam@gmail.com>

**st: RE: Panel unit root tests***From:*Nick Cox <n.j.cox@durham.ac.uk>

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