My comment is very simple: put another way,
on the t-bar statistics -lnq5- and -lngap-
are behaving relatively similarly, whereas -lnmin1-
differs from both. No more than that, and no
less.
The help for -ipshin- makes it clear that
to judge significance you need to get
results from the original paper.
Nick
[email protected]
Jeannette Wicks-Lim
Maybe I'm misunderstanding the results ( I am a real novice
re: time series
issues). I thought that the t-bar being further from zero for lngap
indicates that it is stationary (more negative then the cv1). Is that
incorrect?
Nick Cox
> Your commentary seems at odds with your results
> in that t-bar is further from zero for -lngap-
> than for the other variables.
Jeannette Wicks-Lim
>> I've conducted the IPSHIN test on two variables, one of which
>> appears to be
>> nonstationary (log of the minimum wage, or "lnmin1") and the
>> other appears
>> to be stationary (log of the 5th wage percentile, or "lnq5").
>> When I create
>> a third variable (log of 5th wage percentile - log of minimum wage,
>> or"lngap"), the IPSHIN test indicates that it is stationary.
>> How can it be
>> that the ratio of a stationary and nonstationary variable is
>> stationary?
>> (Some background info: the panels in this dataset are US
>> states -- all 50,
>> the time points are 6 month intervals over 20 years).
>>
>> Here are my results:
>>
>> . ipshin lnmin1 if gestcen~=53, lags(17) trend
>>
>> Im-Pesaran-Shin test for cross-sectionally demeaned lnmin1
>> Deterministics chosen: constant & trend
>>
>> t-bar test, N,T = (50,40) Obs = 1593
>> Augmented by 17 lags (average)
>>
>> t-bar cv10 cv5 cv1 W[t-bar] P-value
>> -1.456 -2.320 -2.360 -2.440 . .
>>
>> . ipshin lnq5 if gestcen~=53, lags(17) trend
>>
>> Im-Pesaran-Shin test for cross-sectionally demeaned lnq5
>> Deterministics chosen: constant & trend
>>
>> t-bar test, N,T = (50,40) Obs = 1593
>> Augmented by 17 lags (average)
>>
>> t-bar cv10 cv5 cv1 W[t-bar] P-value
>> -3.087 -2.320 -2.360 -2.440 . .
>>
>> . ipshin lngap if gestcen~=53, lags(17) trend
>>
>> Im-Pesaran-Shin test for cross-sectionally demeaned lngap
>> Deterministics chosen: constant & trend
>>
>> t-bar test, N,T = (50,40) Obs = 1593
>> Augmented by 17 lags (average)
>>
>> t-bar cv10 cv5 cv1 W[t-bar] P-value
>> -3.585 -2.320 -2.360 -2.440 . .
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