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RE: st: RE: dfuller: why do I get different results?


From   Nick Cox <n.j.cox@durham.ac.uk>
To   "'statalist@hsphsun2.harvard.edu'" <statalist@hsphsun2.harvard.edu>
Subject   RE: st: RE: dfuller: why do I get different results?
Date   Fri, 18 Nov 2011 16:50:40 +0000

Others may be able to give constructive comments. I note only that your -xtset- reveals that your data are gappy, which underlines why using [_n-1] to get previous values did not work for you. 

Nick 
n.j.cox@durham.ac.uk 

Yuval Arbel

Nick,

Note that I looked very carefully at the material Austin Nicols sent
me. His implication was that I should run a unit root test on a panel
dataset. I tried to run the following commands, but they did not seem
to work:

. xtset appt time_index
       panel variable:  appt (unbalanced)
        time variable:  time_index, 0 to 114, but with gaps
                delta:  1 unit

. xtunitroot llc reduct_per
Levin-Lin-Chiu test requires strongly balanced data
r(498);

. xtunitroot ht reduct_per
Harris-Tzavalis test requires strongly balanced data
r(498);

. xtunitroot breitung reduct_per
Breitung test requires strongly balanced data
r(498);


On Fri, Nov 18, 2011 at 3:08 PM, Nick Cox <n.j.cox@durham.ac.uk> wrote:
> See my earlier answer on using -foreach- with an FAQ as reference. I don't know if it will work, in the sense of doing what you want.
>
> By the way, I have a horrible feeling that you are in econometric peril here in some sense, and I am not endorsing your choices.
>
> You've already chosen to ignore the advice of Austin Nichols. If I were doing econometrics, I would want a very good reason to ignore Austin Nichols.
>

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