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st: Error Message in Dickey-Fuller Unit Root


From   David B <david.blanding@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Error Message in Dickey-Fuller Unit Root
Date   Tue, 17 Jan 2012 15:28:32 -0500

Hi,

I'm wondering if anyone might be able to shed light on an error
message I receive when trying to implement the augmented Dickey-Fuller
unit root test (in Stata 11/SE). I have a panel dataset comprising
school districts in the United States between 1987 and 2009 and I
chose the Dickey-Fuller test because it does not require balanced
data. When I run the following command,

xtunitroot fisher depvar, dfuller lags(3) demean

I receive a string of error messages indicating that the test cannot
be computed for certain panels. Am I getting the message because these
panels have missing data? I still have not been able to run the syntax
to completion, but would the resulting syntax be trustworthy anyway,
given that the Dickey-Fuller test statistic is derived by averaging
those for the panels? Finally, is there anything I can do to prevent
or minimize the error (other than multiple imputation, which would be
problematic here; some school districts are missing data because they
didn't exist as such in certain years). Any thoughts and suggestions
are appreciated.
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