st: Panel unit root tests

[Neesha Harnam <neesha.harnam@gmail.com>]

Dear all,

Apologies for reposting, but I did not receive any responses to my
earlier query and thought it may have been because someone hijacked my
thread with a question of their own. I have also rephrased some of my
questions in the event that they were not clear initially, as
suggested by the Statalist FAQ:

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 line plots for each country/variable
to determine if there is a time trend, and have run these tests both
with and without cross-sectional demeaning. I am planning on running
country-fixed effects regressions on these data.  My questions are as
follows:

a. Is the Fisher-ADF test valid when Statalist generates the message
"Stata could not compute test for panels 6, 12, 15, etc.?"

b. What does it mean when one gets the following error message
"performing unit-root test on first panel using the syntax..." and
returns "error code 2000?"  A google search revealed that this occurs
when one has no observations, but I do have observations so am unclear
as to what is happening behind the scenes.

c. 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?

d. Which p-value of the Fisher-ADF test is valid for finite panels?
Stata generates p-values for the inverse chi-squared, inverse normal,
inverse logit, and modified inverse chi-squared.

e. Is it possible to run Fisher-ADF in Stata using AIC-selected lag lengths?


Thank you very much,
Neesha
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