Carola,
I think you want a unit root test for panel data, oks?
Then try - findit madfuller (net install madfuller)
TITLE
'MADFULLER': module to perform Dickey-Fuller test on panel data
DESCRIPTION/AUTHOR(S)
madfuller performs the multivariate augmented Dickey-Fuller panel
unit root test (Sarno and Taylor, 1998; Taylor and Sarno, 1998)
on a variable that contains both cross-section and time-series
components. The test applies Zellner's seemingly unrelated
equation estimator (sureg) to N equations, defined for the N
units of the panel. Each equation is specified as a k-th order
autoregression. The test involves testing the hypothesis, for
each equation, that the sum of the coefficients of the
autoregressive polynomial is unity. The null hypothesis consists
of the joint test that this condition is satisfied over the N
equations. Under the null hypothesis, all of the series under
consideration are realizations of I(1), or nonstationary,
stochastic processes.
KW: panel data
KW: time series
KW: unit root
KW: Dickey-Fuller
Requires: Stata version 7.0 and file command
Author: Christopher F Baum, Boston College
Support: email [email protected]
2008/7/19, Carola Herrera <[email protected]>:
> Hello,
>
> I'd be grateful if somebody could tell me how to do a PANEL test for unit
> root processes in STATA8. I have a TSCS dataset.
>
> Thank you
>
> Sincerely,
> Carola Herrera
>
>
>
>
> *
> * For searches and help try:
> * http://www.stata.com/help.cgi?search
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
>
--
-------------------------------
Joao Ricardo Lima
Professor
UFPB-CCA-DCFS
+553138923914
-------------------------------
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
