Panel Data Linear Models Panel unit root tests - Model in first differences Panel unit root - Fisher-type test
Fisher-type Test
(xtunitroot fisher)
Ho: All the panels have unit roots H1: At least one panel does not have unit roots (N finite), or some panels do not have unit roots (N → ∞) Allows unbalanced panels and gaps in any panel Performs Dickey-Fuller or Phillips-Perron test for each panel Combines p-values from the panel specific unit root tests Four different tests reported in the output. All tests are for T → ∞ P is for finite N Z, L*, and PM are are valid for N finite or infinite
Gustavo Sanchez (StataCorp)
June 22-23, 2012
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