st: Re: panel unit root tests

[Ricardo Gon�alves Silva <ricardogs@terra.com.br>]

Hi,

No, you cannot perform the joint test, since, under H0, the test statistics 
does not have a standard distribution.
In fact, to test  H0:  B1 + B2 = 0 vs. H1: B1 + B2 < 0, you must type 
levinlin, lags(2), for the Levin et al. (2002) test.

Rick
----- Original Message ----- 
From: "James Shaw" <james_shaw2004@yahoo.com>
To: <statalist@hsphsun2.harvard.edu>
Sent: Saturday, March 12, 2005 2:10 PM
Subject: st: panel unit root tests



> Everyone,
>
> I have a dynamic panel data model that is specified as
> follows:
>
> y_it = B0 + B1y_i(t-1) + B2yi(t-2) + ... + A_i + u_it
>
> Using appropriate estimators for this model
> (Arellano-Bond, Anderson-Hsiao), I am getting very
> large estimates for the autoregressive parameters, B1
> and B2.  In fact, the sum of the estimates for B1 and
> B2 approaches 1.0.  I believe that one could formally
> test H0:  B1 + B2 = 0 vs. H1: B1 + B2 < 0 using a
> panel data unit root test, such as that described by
> Levin et al. (2002), which is implemented in Stata as
> LEVINLIN.  Assuming this is correct, what would the
> appropriate command line be?  For example, "levinlin
> y, lag(0)" or "levilin y, lag(2)."  Alternatively,
> maybe the problem is easier than I imagine and I could
> simply perform a joint test of the estimates for B1
> and B2 to see if they are equal to 1.0.
>
> --
> Jim
>
>
>
>
>
> then how would I would
>
> James W. Shaw, Ph.D., Pharm.D., M.P.H.
> Post-Doctoral Fellow
> Tobacco Control Research Branch
> Behavioral Research Program
> Division of Cancer Control and Population Sciences
> National Cancer Institute
> Tel.:  215-852-3045
> Fax:  215-542-7150
>
>
>
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