Thanks to Kit Baum, a new package, -xtfisher-, is available from the SSC archive.
The program computes a unit root test for panel data based on combining the p-values
of independent unit root tests, as developed by Maddala and Wu (1999) though
literature on this issue goes back to Tippett (1931) and Fisher (1932).
Unlike the Im-Pesaran-Shin (2003) test, Fisher's test does not require a balanced panel.
Bug reports and suggestions may be e-mailed to me.
Scott
Fisher, R.A. (1932). Statistical Method for Research Workers, Oliver and Boyd, Edingurgh,
4th ed.
Kyung So Im, M. Hashem Pesaran, Yongcheol Shin. (2003). 'Testing for Unit Roots in Heterogeneous
Panels', Journal of Econometrics, 115, 53-74.
Maddala, G.S. and Wu, Shaowen. (1999). 'A Comparative Study of Unit Root Tests With Panel
Data and A New Simple Test', Oxford Bulletin of Economics and Statistics 61, 631-652.
Tippett, L.H.C. (1931). The Methods of Statistics, Williams and Norgate, London, 1st ed.
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