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MADFULLER: Stata module to perform Dickey-Fuller test on panel data

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Author Info

  • Christopher F Baum

    ()
    (Boston College)

Abstract

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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File URL: http://fmwww.bc.edu/repec/bocode/m/madfuller.ado
File Function: program code
Download Restriction: no

File URL: http://fmwww.bc.edu/repec/bocode/m/madfuller.hlp
File Function: help file
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Bibliographic Info

Software component provided by Boston College Department of Economics in its series Statistical Software Components with number S418701.

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Programming language: Stata
Requires: Stata version 7.0 and file command
Date of creation: 04 Jun 2001
Date of revision: 11 Feb 2006
Handle: RePEc:boc:bocode:s418701

Note: This module may be installed from within Stata by typing "ssc install madfuller". Windows users should not attempt to download these files with a web browser.
Contact details of provider:
Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Phone: 617-552-3670
Fax: +1-617-552-2308
Email:
Web page: http://fmwww.bc.edu/EC/
More information through EDIRC

Order Information:
Web: http://repec.org/docs/ssc.php

Related research

Keywords: panel data; time series; unit root; Dickey-Fuller;

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