I am trying to do an Augmented Dickey-Fuller test for covariance
stationarity on a panel. I understand that panelunit can do this. Could
anybody tell me what the syntax should be? As you can see below,
panelunit
should be installed on my computer but STATA does not seem to
recognize the
command. Also, I am not able to find panelunit.ado on my computer. I
used
"ssc install panelunit" and the installation seemed to have gone through
correctly.
. sort id year
. tsset id year
panel variable: id (strongly balanced)
time variable: year, 2004 to 2005
. dfuller csp
sample may not include multiple panels
r(459);
First of all -panelunit- is no longer necessary unless you are
running an older version of Stata. It was a hack to permit -dfuller-,
-pperron- and -dfgls- to work on a single time series within a panel,
which was always technically feasible, but not implemented in
official Stata's commands. StataCorp has in the meanwhile implemented
those fixes. There is no -help panelunit- because the commands
dfuller2, pperron2 and dfgls2 worked exactly as their official
versions did, with this one added capability (which was literally one
line of code).
Second, being able to access a single time series within a panel for
unit root testing does not a "panel unit root test" make. For that,
as other respondents have indicated, you might use -madfuller-. Or
you might -findit panel unit root test- to explore the menu of
alternatives.
