Hello,
I am trying to compute the Im, Pearson, Shin Panel Unit Root tests, but an
unabble to with "gaps in the data" that won't seem to go away. So I am trying
to construct it on my own by computing the ADF for each country in my sample.
Is there a way to save the ADF statistic for each country in one spot? Also, is
there a rule of thumb regarding how many lags to use? I plan to proceed in a
loop:
forval i=1/103 { **This is the number of countries**
dfuller _varname if country==`i', trend lags(#)
}
Then I need to average these individual ADF statistics.
I also need number of observations for each country to be stored
Thanks,
Justin
*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
