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| From | Nick Cox <njcoxstata@gmail.com> |
| To | statalist@hsphsun2.harvard.edu |
| Subject | Re: st: Panel unit root test |
| Date | Mon, 21 Nov 2011 16:58:25 +0000 |
No; this is not good advice. The d. operator is a better way to do it. It does the right thing if there are gaps. Nick On Mon, Nov 21, 2011 at 3:05 PM, Muhammad Anees <anees@aneconomist.com> wrote: > Check creating differenced variables by > > bysort ypv: gen dyv=yv-yv[_n-1] > > where ypv and yv means your panel variable and your variable of > interest. Hope this works > > On Mon, Nov 21, 2011 at 7:54 PM, Tong, Tingting <ttong2@utk.edu> wrote: >> Dear Sir/Madam, >> >> I think I should create first differenced variable to see if they are stationary or not. >> Only after that, I can proceed to check if they have cointegration issues. >> >> If they are all stationary, I just want to use the fixed effect method instead of others. >> >> I am sorry if I asked so easy questions. I know there must be some missing observations after make the first difference. >> >> Do you know how to deal with these missing variables so I can run the unitroot test on them? >> >> When I do unitroot test in Time series variables, it has the missing variable. But the ADF test can still run. >> >> Thank you. >> Tong >> >> ________________________________________ >> From: owner-statalist@hsphsun2.harvard.edu [owner-statalist@hsphsun2.harvard.edu] on behalf of Muhammad Anees [anees@aneconomist.com] >> Sent: Monday, November 21, 2011 9:45 AM >> To: statalist@hsphsun2.harvard.edu >> Subject: Re: st: Panel unit root test >> >> The problem inheritedly is because you have missing observations in >> your data. Before going to explore other issues, you must check of >> creating such first differenced variables really is what you want. >> >> On Mon, Nov 21, 2011 at 7:23 PM, Tong, Tingting <ttong2@utk.edu> wrote: >>> Dear All, >>> >>> I am very new in Stata and I am going to use PMG method in my thesis. >>> >>> I have a question about panel unit root test. My data has 44 panels from 1958 to 2005. >>> >>> For the panel unitroot test, i use "help xtunitroot" in stata and it gives me some describtions. I used IPS and had the result like followings: >>> >>> . xtunitroot ips lnvadd, lag(aic 8) trend >>> >>> Im-Pesaran-Shin unit-root test for lnvadd >>> ----------------------------------------- >>> Ho: All panels contain unit roots Number of panels = 44 >>> Ha: Some panels are stationary Number of periods = 48 >>> AR parameter: Panel-specific Asymptotics: T,N -> Infinity >>> Panel means: Included sequentially >>> Time trend: Included >>> ADF regressions: 1.14 lags average (chosen by AIC) >>> ------------------------------------------------------------------------------ >>> Statistic p-value >>> ------------------------------------------------------------------------------ >>> W-t-bar 4.6401 1.0000 >>> ------------------------------------------------------------------------------ >>> I think this means lnvadd has unitroot since p-value is very big. >>> >>> Then I want to see if i take the first difference of lnvadd, does it still have unit root or become stationary. >>> >>> I used generate code and it reported that 44 missing values. I am not sure if this the the right way to get the first difference data in Stata. >>> >>> generate lnvaddd1=d1.lnvadd >>> (44 missing values generated) >>> >>> Then I run the unitroot test again for the d1.lnvadd variable i just generated. >>> . xtunitroot ips lnvaddd1, lag(aic 8) trend >>> Im-Pesaran-Shin unit-root test for lnvaddd1 >>> ------------------------------------------- >>> Ho: All panels contain unit roots Number of panels = 0 >>> Ha: Some panels are stationary Number of periods = 47 >>> AR parameter: Panel-specific Asymptotics: T,N -> Infinity >>> Panel means: Included sequentially >>> Time trend: Included >>> ADF regressions: 0.00 lags average (chosen by AIC) >>> ------------------------------------------------------------------------------ >>> Statistic p-value >>> ------------------------------------------------------------------------------ >>> W-t-bar . . >>> ------------------------------------------------------------------------------ >>> >>> It is obviously wrong since the number of panels become zero. >>> >>> I donot know where goes wrong. All I want to know is that the variable is not stationary in level, so I take first difference, see if they are stationary. >>> If the data are stationary after taking first difference, then I want to say they are I(1), then I can go to next step to test the cointegration. >>> * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/