On Thu, Oct 29, 2009 at 2:39 PM, Carlos Rodriguez
<[email protected]> wrote:
> Dear Stata users,
>
> I am a bit confused and I'd very much appreciate your advice and clarification.
>
> I wish to test for unit roots in my time-series cross sectional data
> (20 countries, 30 yearly observations for each), but the tests
> available in Stata10 provide opposite answers so my question is:
> what's the criteria I should follow for choosing among these tests?
>
> According to the xtfisher and the ipshin tests, the null hypothesis of
> unit roots is rejected.
In all the panels
> But, if I use the Hadri test, instead, the null hypothesis of *no*
> unit roots is rejected.
In all the panels.
That is in the Fischer test:
Ho: All panels contain unit roots
Ha: At least one panel is stationary
and in the Hadri LM test:
Ho: All panels are stationary
Ha: Some panels contain unit roots
So couldn't you conclude that some panels, but not all, contain a unit root?
Scott
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