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st: Panel unit root tests


From   Neesha Harnam <neesha.harnam@gmail.com>
To   statalist <statalist@hsphsun2.harvard.edu>
Subject   st: Panel unit root tests
Date   Wed, 5 Oct 2011 08:10:41 +0800

Apologies if anyone receives this twice but it looks like it was stuck
in my outbox so I am resending -



On Tue, Oct 4, 2011 at 7:57 PM, Neesha Harnam <neesha.harnam@gmail.com> wrote:
> 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
>> *
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>>
>> *
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>> *   http://www.ats.ucla.edu/stat/stata/
>>
>

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