English, Article edition: IPSHIN: Stata module to perform Im-Pesaran-Shin panel unit root test Fabian Bornhorst; Christopher F Baum

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Bookmark: http://trove.nla.gov.au/version/102764
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  • code
Language
  • English

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Title
  • IPSHIN: Stata module to perform Im-Pesaran-Shin panel unit root test
Author
  • Fabian Bornhorst
  • Christopher F Baum
Physical Description
  • code
Notes
  • ipshin estimates the t-test for unit roots in heterogeneous panels developed by Im, Pesaran and Shin (IPS, 1997). It allows for individual effects, time trends, and common time effects. Based on the mean of the individual Dickey-Fuller t-statistics of each unit in the panel, the IPS test assumes that all series are non-stationary under the null hypothesis. Lags of the dependent variable may be introduced to allow for serial correlation in the errors. The exact critical values of the t-bar statistic are given in IPS. After transformation by factors provided in the paper (available for no more than 8 lags on any series), the Psi[t-bar] statistic is distributed standard normal under the null hypothesis of nonstationarity.
  • panel data, stationarity, unit roots
  • RePEc:boc:bocode:s419704
Language
  • English
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