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Re: st: A Question Regarding -xtunitroot-
From
Yuval Arbel <[email protected]>
To
[email protected]
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 <[email protected]> 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 <[email protected]> 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: [email protected]
e-mail2: [email protected]
*
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* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/