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RE: st: Panel unit root test
From
"Tong, Tingting" <[email protected]>
To
"[email protected]" <[email protected]>
Subject
RE: st: Panel unit root test
Date
Mon, 21 Nov 2011 14:54:50 +0000
Dear Sir/Madam,
I think I should create first differenced variable to see if they are stationary or not.
Only after that, I can proceed to check if they have cointegration issues.
If they are all stationary, I just want to use the fixed effect method instead of others.
I am sorry if I asked so easy questions. I know there must be some missing observations after make the first difference.
Do you know how to deal with these missing variables so I can run the unitroot test on them?
When I do unitroot test in Time series variables, it has the missing variable. But the ADF test can still run.
Thank you.
Tong
________________________________________
From: [email protected] [[email protected]] on behalf of Muhammad Anees [[email protected]]
Sent: Monday, November 21, 2011 9:45 AM
To: [email protected]
Subject: Re: st: Panel unit root test
The problem inheritedly is because you have missing observations in
your data. Before going to explore other issues, you must check of
creating such first differenced variables really is what you want.
On Mon, Nov 21, 2011 at 7:23 PM, Tong, Tingting <[email protected]> wrote:
> Dear All,
>
> I am very new in Stata and I am going to use PMG method in my thesis.
>
> I have a question about panel unit root test. My data has 44 panels from 1958 to 2005.
>
> For the panel unitroot test, i use "help xtunitroot" in stata and it gives me some describtions. I used IPS and had the result like followings:
>
> . xtunitroot ips lnvadd, lag(aic 8) trend
>
> Im-Pesaran-Shin unit-root test for lnvadd
> -----------------------------------------
> Ho: All panels contain unit roots Number of panels = 44
> Ha: Some panels are stationary Number of periods = 48
> AR parameter: Panel-specific Asymptotics: T,N -> Infinity
> Panel means: Included sequentially
> Time trend: Included
> ADF regressions: 1.14 lags average (chosen by AIC)
> ------------------------------------------------------------------------------
> Statistic p-value
> ------------------------------------------------------------------------------
> W-t-bar 4.6401 1.0000
> ------------------------------------------------------------------------------
> I think this means lnvadd has unitroot since p-value is very big.
>
> Then I want to see if i take the first difference of lnvadd, does it still have unit root or become stationary.
>
> I used generate code and it reported that 44 missing values. I am not sure if this the the right way to get the first difference data in Stata.
>
> generate lnvaddd1=d1.lnvadd
> (44 missing values generated)
>
> Then I run the unitroot test again for the d1.lnvadd variable i just generated.
> . xtunitroot ips lnvaddd1, lag(aic 8) trend
> Im-Pesaran-Shin unit-root test for lnvaddd1
> -------------------------------------------
> Ho: All panels contain unit roots Number of panels = 0
> Ha: Some panels are stationary Number of periods = 47
> AR parameter: Panel-specific Asymptotics: T,N -> Infinity
> Panel means: Included sequentially
> Time trend: Included
> ADF regressions: 0.00 lags average (chosen by AIC)
> ------------------------------------------------------------------------------
> Statistic p-value
> ------------------------------------------------------------------------------
> W-t-bar . .
> ------------------------------------------------------------------------------
>
> It is obviously wrong since the number of panels become zero.
>
> I donot know where goes wrong. All I want to know is that the variable is not stationary in level, so I take first difference, see if they are stationary.
> If the data are stationary after taking first difference, then I want to say they are I(1), then I can go to next step to test the cointegration.
>
> I really hope someone can help me.
> Thank you.
> Tong
>
>
>
>
> *
> * 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/
>
--
Regards
---------------------------
Muhammad Anees
Assistant Professor
COMSATS Institute of Information Technology
Attock 43600, Pakistan
www.aneconomist.com
*
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*
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* http://www.ats.ucla.edu/stat/stata/