st: Re: to check the significance of the coefficient

[Kit Baum <baum@bc.edu>]

Nothing is wrong with your data. If the data are a panel of 10  
countries and 15 years, then the second form of tsset

tsset country year

is correct, and you cannot tsset the data as a single time series,  
because it is not. levinlin will ONLY work with panel data,  A  
meaningless yet illustrative example you can run yourself:

. webuse grunfeld,clear

. tsset
       panel variable:  company (strongly balanced)
        time variable:  year, 1935 to 1954

. levinlin invest,lag(2)

Levin-Lin-Chu test for invest     Deterministics chosen: constant

Pooled ADF test, N,T = (10,20)    Obs = 170
Augmented by 2 lags (average)     Truncation: 8 lags

coefficient    t-value        t-star       P > t
  0.13103        1.764       7.87487      1.0000

.

Kit Baum, Boston College Economics
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html


On Apr 21, 2007, at 2:33 AM,Keynes wrote:


> When I try to set time variable, it shown that
>
> . tsset year, yearly
> repeated time values in sample
>
> So I can not use some command such as -levinlin-.
>
> I don't understand why I can't set only time variable because when I
> use -tsset- to set both
>
> time variable and panel id variable, it work.
>
> tsset country Year, yearly
>        panel variable:  country, 1 to 10
>         time variable:  Year, 1990 to 2005
>
> What's wrong with my data?
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