Hi all,
since this questions come up quite often in Stata list, may I suggest Maddala&Wu
1999, esp p 636ff? It has the virtue of simplicity and one can probably do it by hand.
Maddala & Wu 1999. A comparative study of unit root tests with panel data and a
new simple test. Ox. Bull. Ec. Stats. Special Issue.
Gindo
>>>>>>>>>>>>>>>>>>>>>>>>
Date: Wed, 11 Aug 2004 15:41:45 -0400
From: Kit Baum <[email protected]>
Subject: st: Re: Unit root tests for unbalanced data panels in Stata
Dear Jean
This question comes up from time to time on Statalist. I do not believe
that any of those routines will work with unbalanced panels. Some of
the underlying analytics for some of the tests may be compatible with
unbalanced panels (or at least timeseries without gaps) but none of the
routines {hadrilm, ipshin, levinlin, madfuller, nharvey} are
implemented to allow for unbalanced panels.
Thanks
Kit Baum
On Aug 11, 2004, at 3:06 PM, Salvati, Jean wrote:
> Dear Mister Baum,
>
> I work at the IMF, in the Econometric Support group. I saw in Sata's
> online help that you have written several ado files to perform unit
> root tests on panel data. Do these programs work with unbalanced
> panels? If not, do you know any program that supports unbalanced
> panels?
>
> Thanks a lot.
>
> Best regards,
>
> Jean Salvati
> Econometric Support
> (202) 623-7804
> IS 12-1328
Dr. Gindo Tampubolon
[email protected]
International Data Service -
Economic and Social Data Services (Funded by ESRC & JISC)
- and -
Department of Sociology
University of Manchester
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