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 at the end of May, and its replacement, statalist.org is already up and running.


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

Re: st: Panel unit root test


From   Muhammad Anees <anees@aneconomist.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Panel unit root test
Date   Mon, 21 Nov 2011 19:45:37 +0500

The problem inheritedly is because you have missing observations in
your data. Before going to explore other issues, you must check of
creating such first differenced variables really is what you want.

On Mon, Nov 21, 2011 at 7:23 PM, Tong, Tingting <ttong2@utk.edu> wrote:
> Dear All,
>
> I am very new in Stata and I am going to use PMG method in my thesis.
>
> I have a question about panel unit root test. My data has 44 panels from 1958 to 2005.
>
> For the panel unitroot test, i use "help xtunitroot" in stata and it gives me some describtions. I used IPS and had the result like followings:
>
> . xtunitroot ips lnvadd, lag(aic 8) trend
>
> Im-Pesaran-Shin unit-root test for lnvadd
> -----------------------------------------
> Ho: All panels contain unit roots           Number of panels  =     44
> Ha: Some panels are stationary            Number of periods =     48
> AR parameter: Panel-specific                Asymptotics: T,N -> Infinity
> Panel means:  Included                                        sequentially
> Time trend:   Included
> ADF regressions: 1.14 lags average (chosen by AIC)
> ------------------------------------------------------------------------------
>                    Statistic      p-value
> ------------------------------------------------------------------------------
>  W-t-bar              4.6401        1.0000
> ------------------------------------------------------------------------------
> I think this means lnvadd has unitroot since p-value is very big.
>
> Then I want to see if i take the first difference of lnvadd, does it still have unit root or become stationary.
>
> I used generate code and it reported that 44 missing values. I am not sure if this the the right way to get the first difference data in Stata.
>
> generate lnvaddd1=d1.lnvadd
> (44 missing values generated)
>
> Then I run the unitroot test again for the d1.lnvadd variable i just generated.
> . xtunitroot ips  lnvaddd1, lag(aic 8) trend
> Im-Pesaran-Shin unit-root test for lnvaddd1
> -------------------------------------------
> Ho: All panels contain unit roots           Number of panels  =      0
> Ha: Some panels are stationary              Number of periods =     47
> AR parameter: Panel-specific                Asymptotics: T,N -> Infinity
> Panel means:  Included                                        sequentially
> Time trend:   Included
> ADF regressions: 0.00 lags average (chosen by AIC)
> ------------------------------------------------------------------------------
>                    Statistic      p-value
> ------------------------------------------------------------------------------
>  W-t-bar                   .             .
> ------------------------------------------------------------------------------
>
> It is obviously wrong since the number of panels become zero.
>
> I donot know where goes wrong. All I want to know is that the variable is not stationary in level, so I take first difference, see if they are stationary.
> If the data are stationary after taking first difference, then I want to say they are I(1), then I can go to next step to test the cointegration.
>
> I really hope someone can help me.
> Thank you.
> Tong
>
>
>
>
> *
> *   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/
>



-- 

Regards
---------------------------
Muhammad Anees
Assistant Professor
COMSATS Institute of Information Technology
Attock 43600, Pakistan
www.aneconomist.com

*
*   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