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st: xtunitroot fisher individual ADF results


From   "Larissa Talmon-Gros" <l.talmon-gros@uni-hohenheim.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: xtunitroot fisher individual ADF results
Date   Thu, 20 Dec 2012 11:14:54 +0100

Dear all,

I have a question regarding the –xtunitroot fisher- command in Stata. I have searched the FAQs, archive and manual and was not able to find an answer.

I would like to obtain the results from the individual ADF regressions before Stata combines them into the xtunitroot Fisher test statistic. Is this possible for the –xtunitroot fisher- implemented in Stata? And if it is, how can I obtain them?

I know that it is possible with Scott Merryman’s –xtfisher- command, but if I have understood it correctly -xtfisher – does not include an option for demeaning and I assume that my results from a demeaned –xtunitroot fisher- are not directly comparable with a not-demeaned -xtfisher-.

Any help would be greatly appreciated.

Thank you for your consideration.

Regards,

Larissa

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