English, Article edition: LEVINLIN: Stata module to perform Levin-Lin-Chu panel unit root test Fabian Bornhorst; Christopher F Baum

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Bookmark: http://trove.nla.gov.au/version/175823
Physical Description
  • code
Language
  • English

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Title
  • LEVINLIN: Stata module to perform Levin-Lin-Chu panel unit root test
Author
  • Fabian Bornhorst
  • Christopher F Baum
Physical Description
  • code
Notes
  • levinlin estimates the panel unit root test developed by Levin, Lin and Chu (2002). The test assumes that each individual unit in the panel shares the same AR(1) coefficient, but allows for individual effects, time effects and possibly a time trend. Lags of the dependent variable may be introduced to allow for serial correlation in the errors. The test may be viewed as a pooled Dickey-Fuller test, or an Augmented Dickey-Fuller (ADF) test when lags are included, with the null hypothesis that of nonstationarity (I(1) behavior). After transformation, the t-star statistic is distributed standard normal under the null hypothesis of nonstationarity.
  • panel data, stationarity, unit roots
  • RePEc:boc:bocode:s419702
Language
  • English
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