MADFULLER: Stata module to perform Dickey-Fuller test on panel data
Christopher F Baum
madfuller performs the multivariate augmented Dickey-Fuller panel unit root test (Sarno and Taylor, 1998; Taylor and Sarno, 1998) on a variable that contains both cross-section and time-series components. The test applies Zellner's seemingly unrelated equation estimator (sureg) to N equations, defined for the N units of the panel. Each equation is specified as a k-th order autoregression. The test involves testing the hypothesis, for each equation, that the sum of the coefficients of the autoregressive polynomial is unity. The null hypothesis consists of the joint test that this condition is satisfied over the N equations. Under the null hypothesis, all of the series under consideration are realizations of I(1), or nonstationary, stochastic processes.
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