Hi stata-listers!
Anyone out there aware of a program/module that implements the
Maddala & Wu (1999) unit root test for panel data? Thus far I have
found three panel unit root tests implemented in Stata: ipshin, levlin
and madfuller. All of these, however, require balanced panels (that
is, the same T for all N) with no gaps in the data -- a highly
restrictive requirement for most interesting real-world applications.
At least in theory, the Maddala & Wu-test should cope with these
problems.
Jan Teorell
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