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st: is it possible to use nharvey...

From   Kit Baum <>
Subject   st: is it possible to use nharvey...
Date   Thu, 19 Oct 2006 15:02:26 -0400

Alvaro said

I wonder whether this test is also available to test if variables x1t
and x2t in a simple time series could be tested to have common
trends. In this case, how to define the command? it only allow to
define one variable, which puzzles me.

You only specify one variable because in a panel, you have multiple time series stacked on top of one another. If you convert your series to that format it should work. Use the stack command to stack the two time series, tsset with ts# time (where ts# is 1 or 2), and then specify that to nharvey.

Now whether it makes any sense to do so is another thing. If these are two time series measuring quite different things (rather than, say, US and UK values of the same economic concept) you don't want to treat them as a panel: assuming that they might be nonstationary, you want to look for cointegration (a common stochastic trend) between them in the standard way.


Kit Baum, Boston College Economics
An Introduction to Modern Econometrics Using Stata:

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