From | Joachim Landström <[email protected]> |
To | [email protected] |
Subject | Re: st: unit-root tests: xt-fisher, Hadri, ipshin |
Date | Tue, 24 Nov 2009 22:30:15 +0100 |
Since your N is small and has a low N/T-ratio I would recommend to use a unit root model that has robust finite sample properties while being assymptotic in T.
/Joachim Quoting Carlos Rodriguez <[email protected]>:
So, even if some panels have unit roots but not all, would it befine if I run the regression in first-differences to address the issue of unit roots? Or is this not advisable when not all panels have unit roots.Should I first-difference all control variables in additon to the main explanatory one and the dependent variable? What about the binary (1/0) indicators?Thanks again CarlosOn Thu, Oct 29, 2009 at 7:09 PM, Scott Merryman <[email protected]> wrote: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 panelsBut, 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 rootsSo couldn't you conclude that some panels, but not all, contain a unit root?Scott * * 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/* * 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/
-- Joachim Landström * * 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/
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