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st: hadrilm

From   Kit Baum <[email protected]>
To   [email protected]
Subject   st: hadrilm
Date   Tue, 23 Nov 2004 21:17:59 -0500

Naceur wrote

I have a question about the Hadrilm test of statinarity in Panel data.
Can I use this test with unblanced panel?

With stata I have this result bellow, but I can't conclude if there's a stationnarity or no.

hadrilm D.lnPTMQ (stata command)

No, the test does not work with an unbalanced panel. In the example you gave, there is no evidence of nonstationarity for the differenced series, and clear evidence of nonstationarity in the level series. The level series appear to be I(1).

Kit Baum, Boston College Economics

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