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From |
Francesoc Paldini <f.paldini@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: Fwd: Panel Unit Root Test |

Date |
Thu, 6 Dec 2012 15:20:57 +0100 |

Dear Yuval, thank you very much. Unfortunately, I can not read your answer (the technical part, which starts with: "In a nutshell, unit root is a very big problem in time-series" is missing). I know the problem of "unit roots" in time series data. I'm wondering, if those problems are existing in panel applications (fixed effects estimator), too. Thanks again! Frances 2012/12/6 Yuval Arbel <yuval.arbel@gmail.com>: > There are several interesting applications to the unit-root hypothesis: > > According to the quantity theory of money M=kPY where M is the > quantity of money, P is price level and Y is the GDP. The prominent > prediction of the model is neutrality of money: if M increases by x% > and Y is fixed P is expected to increase by x%. > > Note that if we convert this into a logarithmic form, it turns out > that the model predicts a unit root as a coefficient of P and Y. In > fact, somebody checked the theory based on the unit-root hypothesis. > > Another interesting application is based on a study I have just > completed. The government gave public-housing tenants the option to > purchase their renal units after a major discount, which vary from one > period to another. We had the trail of the discount for each and every > tenant, but we had to check this trail is random walk (otherwise > tenants will anticipate the momentum and wait until the last day to > exercise). Under these circumstances we ran a panel unit-root test, > and the unit root hypothesis was not rejected. > > On Thu, Dec 6, 2012 at 6:11 AM, Yuval Arbel <yuval.arbel@gmail.com> wrote: >> Frances, >> >> In a nutshell, unit root is a very big problem in time-series >> analysis. If there is a unit root the series is a random walk and >> explosive. This implies that the estimates are inefficient, and by >> backward induction we can show that the SD estimates do not converge >> anywhere. A simple way to explain it is to divide a series to >> sub-samples. Imagine that the mean and SD of each sub-sample is >> different. >> >> A simple way to address unit-root problems is to use a difference >> series, i.e., Yt-Yt-1 >> >> On Thu, Dec 6, 2012 at 5:17 AM, Francesoc Paldini <f.paldini@gmail.com> wrote: >>> 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 >>> * >>> * For searches and help try: >>> * http://www.stata.com/help.cgi?search >>> * http://www.stata.com/support/faqs/resources/statalist-faq/ >>> * http://www.ats.ucla.edu/stat/stata/ >> >> >> >> -- >> 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 > > > > -- > 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 > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/faqs/resources/statalist-faq/ > * http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: Fwd: Panel Unit Root Test***From:*Yuval Arbel <yuval.arbel@gmail.com>

**References**:**st: Fwd: Panel Unit Root Test***From:*Francesoc Paldini <f.paldini@gmail.com>

**Re: st: Fwd: Panel Unit Root Test***From:*Yuval Arbel <yuval.arbel@gmail.com>

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