Your commentary seems at odds with your results
in that t-bar is further from zero for -lngap-
than for the other variables.
Nick
[email protected]
Jeannette Wicks-Lim
> I've conducted the IPSHIN test on two variables, one of which
> appears to be
> nonstationary (log of the minimum wage, or "lnmin1") and the
> other appears
> to be stationary (log of the 5th wage percentile, or "lnq5").
> When I create
> a third variable (log of 5th wage percentile - log of minimum wage,
> or"lngap"), the IPSHIN test indicates that it is stationary.
> How can it be
> that the ratio of a stationary and nonstationary variable is
> stationary?
> (Some background info: the panels in this dataset are US
> states -- all 50,
> the time points are 6 month intervals over 20 years).
>
> Here are my results:
>
> . ipshin lnmin1 if gestcen~=53, lags(17) trend
>
> Im-Pesaran-Shin test for cross-sectionally demeaned lnmin1
> Deterministics chosen: constant & trend
>
> t-bar test, N,T = (50,40) Obs = 1593
> Augmented by 17 lags (average)
>
> t-bar cv10 cv5 cv1 W[t-bar] P-value
> -1.456 -2.320 -2.360 -2.440 . .
>
> . ipshin lnq5 if gestcen~=53, lags(17) trend
>
> Im-Pesaran-Shin test for cross-sectionally demeaned lnq5
> Deterministics chosen: constant & trend
>
> t-bar test, N,T = (50,40) Obs = 1593
> Augmented by 17 lags (average)
>
> t-bar cv10 cv5 cv1 W[t-bar] P-value
> -3.087 -2.320 -2.360 -2.440 . .
>
> . ipshin lngap if gestcen~=53, lags(17) trend
>
> Im-Pesaran-Shin test for cross-sectionally demeaned lngap
> Deterministics chosen: constant & trend
>
> t-bar test, N,T = (50,40) Obs = 1593
> Augmented by 17 lags (average)
>
> t-bar cv10 cv5 cv1 W[t-bar] P-value
> -3.585 -2.320 -2.360 -2.440 . .
>
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