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Re: st: A Question Regarding -xtunitroot-


From   Yuval Arbel <yuval.arbel@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: A Question Regarding -xtunitroot-
Date   Sat, 8 Sep 2012 23:08:21 -0700

Scott, I thank you very much for your answer.

Eventually I tried the following solution:

I ran -xtreg- with -fe- option where the dependent variable is Y(i,t)
and the independent variable is Y(i,t-1). At the bottom of the output
appears the Chow test for fixed effects.

How does that sound?

On Sat, Sep 8, 2012 at 5:55 PM, Scott Merryman <scott.merryman@gmail.com> wrote:
> 1.  There are no pvalues when the noconstant option is used in
> -dfuller-, therefore is nothing for -xtunitroot fisher- sum.
>
> 2.  There is no fixed effect constant (such produced by -xtreg, fe-)
> because each panel is analyzed separately.
>
> Scott
>
>
> On Sat, Sep 8, 2012 at 12:01 AM, Yuval Arbel <yuval.arbel@gmail.com> wrote:
>> Dear Statalisters,
>>
>> I used the command -xtunitroot- to test for unit roots in all panels
>> and ran Fisher-Type tests.
>>
>> The problem is that I would like to suppress the constant generic
>> fixed effect terms (by -noconstant-). This possibility is not
>> available for Fisher-Type tests.
>>
>> I tried other tests, which have the -noconstant- option, but the
>> problem is that my panel is unbalanced, and these tests cannot be
>> performed on an unbalanced panel.
>>
>> The question is can I do something about it? can I at least run a test
>> to see whether these generic fixed effect terms are equal to zero?
>>
>> --
>> Dr. Yuval Arbel
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-- 
Dr. Yuval Arbel
School of Business
Carmel Academic Center
4 Shaar Palmer Street,
Haifa 33031, Israel
e-mail1: yuval.arbel@carmel.ac.il
e-mail2: yuval.arbel@gmail.com
*
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*   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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