st: xtfisher vs pescadf results

["Olga Gorbachev Melloni" <olga_gorbachev@hotmail.com>]

Dear Stata users,

I am confused. I am trying to run a panel unit root test and I am getting 
different results from xtfisher and pescadf. Why is that? I am attaching an 
output below that compares the two.

Can somebody point me to the potential mistake? I need to run panel unit 
root test that allows for cross sectional dependence, thus pescadf would be 
my choice, but I am not understanding the output correctly it seems.

thank you,
___________________________________________________________________

webuse grunfeld,clear

pescadf invest, trend lag(1)

Pesaran's CADF test for invest
Cross-sectional average in first period extracted and extreme t-values 
truncated
Deterministics chosen: constant & trend

t-bar test, N,T = (10,20)         Obs = 180
Augmented by 1 lags (average)

   t-bar     cv10      cv5       cv1   Z[t-bar]    P-value
  -2.203   -2.740    -2.880    -3.150    0.241     0.595

____________________________________________________________________
xtfisher invest, trend lag(1)

Fisher Test for panel unit root using an augmented Dickey-Fuller test (1 
lags)

Ho: unit root

        chi2(20)     =   55.2784
        Prob > chi2  =      0.0000

*** based on this output I would accept unit root under xtfisher but reject 
under pescadf
____________________________________________________________________
pescadf invest, lag(1)

Pesaran's CADF test for invest
Cross-sectional average in first period extracted and extreme t-values 
truncated
Deterministics chosen: constant

t-bar test, N,T = (10,20)         Obs = 180
Augmented by 1 lags (average)

   t-bar     cv10      cv5       cv1   Z[t-bar]    P-value
  -2.242   -2.210    -2.340    -2.600   -1.572     0.058


____________________________________________________________________
xtfisher invest, lag(1)

Fisher Test for panel unit root using an augmented Dickey-Fuller test (1 
lags)

Ho: unit root

        chi2(20)     =   13.8730
        Prob > chi2  =      0.8369

*** based on this output I would accept unit root under pescadf but reject 
under xtfisher

whats going on? I used also the nodemean with pescadf, but the results were 
the same.


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