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Re: st: ts unit root test


From   Markus Eberhardt <markus.eberhardt@economics.ox.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: ts unit root test
Date   Tue, 22 Feb 2011 09:27:37 +0000

You're in the domain of PANEL time series. The error tells you that
you asked Stata to run a time-series test when your data is actually
panel (multiple countries).
Find below and overview of the various panel time series tests (and
other routines) implemented in Stata:
https://sites.google.com/site/medevecon/code#TOC-Panel-Time-Series-Tools
This includes routines that run with unbalanced panels with missing
observations.
m


Markus Eberhardt
ESRC Post-doctoral Research Fellow, Centre for the Study of African
Economies, Department of Economics, University of Oxford
Stipendiary Lecturer, St Catherine's College, Oxford

web: http://sites.google.com/site/medevecon/home
email: markus.eberhardt@economics.ox.ac.uk
twitter: http://twitter.com/sjoh2052
mail: Centre for the Study of African Economies, Department of
Economics, Manor Rd, Oxford OX1 3UQ, England




On 22 February 2011 09:19, api <alaa@api.org.kw> wrote:
> Hello
>
> I have a panel database with panel and time variables.
>
> panels are 11 countries, and times are 29 years (for each country).
>
> I'm trying to do a unit root test from time series menu, and im getting this
> error:
>
> sample may not include multiple panels
>
> The command im trying is: dfuller
>
> I tried adding an if condition, to take one panel (1 country), it say not
> enough observations
>
> So my questions are:
>
> 1- what is the command for doing panel unit root test?
>
> 2- i searched and there is a command :xtunitroot can do the trick, but it is
> for version 11 mine is version 10, how to use it?
>
> 3- xtunitroot need data to be strongly balanced, mine is weakly balanced (i
> have missing values and i guess this what made it weakly balanced).
>
> Any suggestions appreciated.
>
> Thanks in advance
>
>
> --
> View this message in context: http://statalist.1588530.n2.nabble.com/ts-unit-root-test-tp6051608p6051608.html
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