Re: st: unit-root tests: xt-fisher, Hadri, ipshin

[Joachim Landström <joachim.landstrom@fek.uu.se>]

I would advise you to go and look into the actual academic references  
before you use those unit root models and scrutinize their  
assumptions. Do they differ for what you have and how applicable are  
those models really for you?

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 <carlosrodriguez1993@gmail.com>:

> > So, even if some panels have unit roots but not all, would it be
> > > fine 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
> > > Carlos
>
>
>
> > > On Thu, Oct 29, 2009 at 7:09 PM, Scott Merryman
> > > <scott.merryman@gmail.com> wrote:
> > > > On Thu, Oct 29, 2009 at 2:39 PM, Carlos Rodriguez
> > > > <carlosrodriguez1993@gmail.com> 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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>
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--
Joachim Landström


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