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Re: st: Panel Unit Root Test


From   Yuval Arbel <yuval.arbel@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Panel Unit Root Test
Date   Thu, 6 Dec 2012 06:33:10 -0800

Undoubtly, unit-root is very much relevant to panel. After all in
panel framework you are following each
subject across time. So any typical problems of  cross-section and
time-series are relevant for a panel.

On Thu, Dec 6, 2012 at 6:10 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 5:29 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:
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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



-- 
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/


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