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st: test for stationarity that accepts the "by" command?

From   "Jason Yackee" <[email protected]>
To   <[email protected]>
Subject   st: test for stationarity that accepts the "by" command?
Date   Thu, 14 Sep 2006 16:45:01 -0700

Dear Stata seers,

I am trying to test for stationarity of cross-sectional time series data for individual cross-sections (countries).  I am aware of xtfisher and pescadf as tests that work across unbalanced panels and provide a single statistic for the entire dataset.  But these are weak tests, and I'd like to be able to test individual series by country, in order to see if most individual series show signs of stationarity or unit roots.

I've tried -by country: dfuller varname-, -by country: pperron varname- and so on with -kpss- and -dfgls- and -levinlin-, but none of these commands allow a -by- (or -bysort-) option.

Might there be another command, of which I am not aware, that is up to the task?  If not, am I left to breaking down my 150-country dataset into 150 single-country datasets, or by using 150 different -if country- commands?

Jason Webb Yackee
Gould School of Law
University of Southern California
Los Angeles, California 90089-0071
Tel: 213-740-2865
Fax: 213-740-5502
Cell: 919-358-3040
email: [email protected]

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