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st: Validity of panel unit root tests

From   Neesha Harnam <[email protected]>
To   statalist <[email protected]>
Subject   st: Validity of panel unit root tests
Date   Wed, 28 Sep 2011 22:35:41 -0400


I have a set of variables for which I would like to check for
non-stationarity (these are in panel data form, with 31 years and 70
countries worth of data). As there are some unbalanced panels in my
dataset I am using IPS and Fisher (ADF) tests to conduct these checks.
I have looked at the individual data plots for each country for each
variable to determine if there is a trend, and have run these tests
both with and without cross-sectional demeaning. I will be running
country-fixed effects regressions on these data.  My questions are as

a. What is the validity of the Fisher test when it says could not
compute test for panel 6, 12, 15, etc.?
b. I understand that demeaning is used when cross-sectional dependence
is thought to occur in the data, but is there any way to test for
cross-sectional dependence? Likewise, is there any way to test for a
time trend, or is it based on visual inspection of plots / empirical
c. Which p-value of the Fisher test is valid for finite panels?
d. Is it possible to run Fisher-ADF in Stata using AIC-selected lag lengths?

Thank you very much,

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