Notice: On March 31, it was **announced** that Statalist is moving from an email list to a **forum**. The old list will shut down on April 23, and its replacement, **statalist.org** is already up and running.

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

From |
Nick Cox <njcoxstata@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: unit-root test |

Date |
Wed, 22 Aug 2012 15:42:59 +0100 |

On #1, -xtunitroot- is an official Stata command added in Stata 11. http://www.stata.com/help.cgi?xtunitroot http://www.stata.com/help.cgi?whatsnew10to11 Note that, as above, you can find this out even given your version of Stata. On everything, note that the spelling is "Stata". On everything else: Others are better able to comment. Nick On Wed, Aug 22, 2012 at 3:29 PM, L P <pas2612@gmail.com> wrote: > Dear Muhammad, > > Many thanks for your suggestion. If I can take some more minutes of > your time, I would like to share what follows: > > 1. as I said I am using STATA 9. For this reason when I typed the > command . ssc install xtunitroot I got the message > ssc install: "xtunitroot" not found at SSC, type -findit xtunitroot- > (To find all packages at SSC that start with x, type -ssc describe x-) > r(601); > > 2. as suggested in the error message I typed . findit xtunitroot and > STATA opened a page with the link to four unit-root tests packages, > which I installed all. Among them, I found the XTFISHER test (which is > referred to be suitable for unbalanced data). I have tried to run the > test and it looks like things are working in the right way now. For > example, I run > > xtfisher Ln_MKTopn_2, lag(1) > > and the result is > > Fisher Test for panel unit root using an augmented Dickey-Fuller test (1 lags) > > Ho: unit root > > chi2(60) = 119.9346 > Prob > chi2 = 0.0000 > > My questions: > > 1. what is the right interpretation of this result? I think I have to > reject the null hyothesis because the p-value is < or = to 0.05. > Hence, I can conclude that the variable is stationary and its use in > the specification model is valid. Am I right? > > 2. what should be the right ammount of lags to be considered in the lag option? > > 3. does this test must be run for each single independent variable I > consider in my model specification? > > 4. shall I run the test for the dependent variable as well? > > Thanks again for your really helpful support. > > > 2012/8/22 Muhammad Anees <anees@aneconomist.com>: >> Hello, >> >> You can find more information on theoritical part from the references >> given in the helpfile. >> >> Moreoever, alternative sources of information is available from: >> -xtunitroot- Check from Stata's command line if -help xtunitroot- >> gives you these and if not then install it from -ssc install >> xtunitroot- or find it using -xtunitroot-. >> >> The help file contains more information but there are some points >> which can be used to answer your questions: >> >> 1. You can not use varlist, so it means you have to run the command >> for varname. It means may be using it for one variable at a time or >> for each variable seperately. >> 2. You can not use -xtunitroot- for data with gaps or what we can say >> some observations on some series are missing. The data should be >> strongly balanced. >> 3. Once confirmed, you can use the first difference to overcome the >> issue of non-stationarity or this can be confirmed that the series are >> stationary in first difference. >> >> I hope more discussion will help us learn more on these issues. Also I >> hope this helps you somehow. >> >> >> On Wed, Aug 22, 2012 at 6:13 PM, L P <pas2612@gmail.com> wrote: >>> 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? * * 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/

**References**:**st: unit-root test***From:*L P <pas2612@gmail.com>

**Re: st: unit-root test***From:*Muhammad Anees <anees@aneconomist.com>

**Re: st: unit-root test***From:*L P <pas2612@gmail.com>

- Prev by Date:
**st: PMG Estimators** - Next by Date:
**Re: st: PMG Estimators** - Previous by thread:
**Re: st: unit-root test** - Next by thread:
**st: two stage least squares for panel data** - Index(es):