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RE: st: unit root test in panel data


From   Rituparna Basu <basur@pamfri.org>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   RE: st: unit root test in panel data
Date   Thu, 31 May 2012 16:37:56 +0000

Thank you Kit!

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Christopher Baum
Sent: Wednesday, May 30, 2012 3:22 AM
To: statalist@hsphsun2.harvard.edu
Subject: re: st: unit root test in panel data 

<>
It would be great if some one can suggest what to do if there is an unit root present in panel data? I was reading the literature and it appeared that one has to estimate dynamic panel data models. Also what if unit root is not present? Any suggestion is highly appreciated. 


try -findit panel unit root-

There is no obvious reason why a DPD model would be needed here. If N>>T you might choose to use one, but that depends on your positing some sort of partial adjustment mechanism for the dependent variable.

Kit


Kit Baum   |   Boston College Economics & DIW Berlin   |   http://ideas.repec.org/e/pba1.html
                             An Introduction to Stata Programming  |   http://www.stata-press.com/books/isp.html
  An Introduction to Modern Econometrics Using Stata  |   http://www.stata-press.com/books/imeus.html


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