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st: unit-root test


From   L P <pas2612@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: unit-root test
Date   Wed, 22 Aug 2012 15:13:13 +0200

Hi there,

I would be grateful if I could receive your help since I am new to
econometrics and STATA.

I am using STATA 9.0 an I am working on a panel data based on
observations for 30 countries (id) and 25 years from 1981 to 2005
(time). The database is unbalanced since it contains gaps in id and
time dimensions. The model specification looks like

Ln Emissions[it] = a + b1 Ln GDP[it] + b2 LnGDP^2[it] + b3 Ln
Trade(lag-1)[id] + ... + e

According to what I read in statalist, I am trying to test the
variables of my model specification for stationarity with
Levin-Lin-Chu test and the use of the followwing STATA commands:

. tsset id year

. levinlin variable name, lag(1)

My questions:

1. shall I run the test for each single dependent variable? What about
the independent variable?
2. how can I overtake the problem of the gaps to allow the test for
those variables characterised by gaps in the databse?

Furthermore, if I find a p-value > or = 0.05, I have to accept the
null hypothesis (that is the panels contain unit-roots). With the aim
of overtaking this problem, is it enough to build first differences of
the variable performing in this way?

Thanks in advance.

Lino
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