RE: st: Validity of panel unit root tests

[Dominus Dei <johnson_samuel@hotmail.com>]

Hi,

 

Anyone can tell me how to run multivariate analysis in STATA?  I need to calculate the return to INVEST for 52 companies in 25 years.

 

Thanks!

 

Sam

----------------------------------------
> From: neesha.harnam@gmail.com
> Date: Wed, 28 Sep 2011 22:35:41 -0400
> Subject: st: Validity of panel unit root tests
> To: statalist@hsphsun2.harvard.edu
>
> Hi,
>
> I have a set of variables for which I would like to check for
> non-stationarity (these are in panel data form, with 31 years and 70
> countries worth of data). As there are some unbalanced panels in my
> dataset I am using IPS and Fisher (ADF) tests to conduct these checks.
> I have looked at the individual data plots for each country for each
> variable to determine if there is a trend, and have run these tests
> both with and without cross-sectional demeaning. I will be running
> country-fixed effects regressions on these data. My questions are as
> follows:
>
> a. What is the validity of the Fisher test when it says could not
> compute test for panel 6, 12, 15, etc.?
> b. I understand that demeaning is used when cross-sectional dependence
> is thought to occur in the data, but is there any way to test for
> cross-sectional dependence? Likewise, is there any way to test for a
> time trend, or is it based on visual inspection of plots / empirical
> evidence?
> c. Which p-value of the Fisher test is valid for finite panels?
> d. Is it possible to run Fisher-ADF in Stata using AIC-selected lag lengths?
>
>
> Thank you very much,
> Neesha
>
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