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


From   Yuval Arbel <yuval.arbel@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: dfuller: why do I get different results?
Date   Fri, 18 Nov 2011 19:08:30 +0200

Note that it did not work because these commands need balanced panel,
and I have unbalanced panel.

I'm trying now the command:

xtunitroot fisher reduct_per,dfuller lag(1)

according to the help file:   xtunitroot fisher does not require
strongly balanced data, and the individual series can have gaps.

It takes stata a long time to run this command (I have 9547 panels) -
but it suppose to do exactly what I need: to run the dfuller on each
panel separately and construct average statistic.

I let you know whether it worked eventually

many thanks,
Yuval

On Fri, Nov 18, 2011 at 6:50 PM, Nick Cox <n.j.cox@durham.ac.uk> wrote:
> 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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>



-- 
Dr. Yuval Arbel
School of Business
Carmel Academic Center
4 Shaar Palmer Street, Haifa, Israel
e-mail: yuval.arbel@gmail.com

*
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