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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 20:05:02 +0500

Check creating differenced variables by

bysort ypv: gen dyv=yv-yv[_n-1]

where ypv and yv means your panel variable and your variable of
interest. Hope this works

On Mon, Nov 21, 2011 at 7:54 PM, Tong, Tingting <ttong2@utk.edu> wrote:
> Dear Sir/Madam,
>
> I think I should create first differenced variable to see if they are stationary or not.
> Only after that, I can proceed to check if they have cointegration issues.
>
> If they are all stationary, I  just want to use the fixed effect method instead of others.
>
> I am sorry if I asked so easy questions. I know there must be some missing observations after make the first difference.
>
> Do you know how to deal with these missing variables so I can run the unitroot test on them?
>
> When I do unitroot test in Time series variables, it has the missing variable. But the ADF test can still run.
>
> Thank you.
> Tong
>
> ________________________________________
> From: owner-statalist@hsphsun2.harvard.edu [owner-statalist@hsphsun2.harvard.edu] on behalf of Muhammad Anees [anees@aneconomist.com]
> Sent: Monday, November 21, 2011 9:45 AM
> To: statalist@hsphsun2.harvard.edu
> Subject: Re: st: Panel unit root test
>
> 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/
>
> *
> *   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/


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