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st: Panel Unit Root Test


From   Francesoc Paldini <f.paldini@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Panel Unit Root Test
Date   Thu, 6 Dec 2012 14:29:02 +0100

Hello Statalist,

I'm working with dynamic panel data (unfortunately with small
data sets) and I'm performing simple fixed effect estimations. Since T
is pretty large (T=30), I don't care about the Nickel Bias.

Actually, I don't get the concept of unit root tests for panel data?
Under which circumstances are unit roots problematic?

Does the asymptotic distribution theory require the estimator to
satisfy the usual (time series) conditions that rule out unit and
explosive roots? Do I need lots of cross-sectional units (in my case:
N=20)?

Best wishes,
Frances
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