English, Article edition: HADRILM: Stata module to perform Hadri panel unit root test Christopher F Baum

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Bookmark: http://trove.nla.gov.au/version/102508
Physical Description
  • code
Language
  • English

Edition details

Title
  • HADRILM: Stata module to perform Hadri panel unit root test
Author
  • Christopher F Baum
Physical Description
  • code
Notes
  • hadrilm performs a test for stationarity in heterogeneous panel data (Hadri, 2000). This Lagrange Multiplier (LM) test has a null of stationarity, and its test statistic is distributed as standard normal under the null. The series may be stationary around a deterministic level, specific to the unit (i.e. a fixed effect) or around a unit-specific deterministic trend. The error process may be assumed to be homoskedastic across the panel, or heteroskedastic across units. The residual-based test is based on the squared partial sum process of residuals from a demeaning (detrending) model of level (trend) stationarity. This is version 1.0.3 of the software.
  • panel data, stationarity, unit roots
  • RePEc:boc:bocode:s419701
Language
  • English
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