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

Author

Listed:
  • Christopher F Baum

    (Boston College)

Programming Language

Stata

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.

Suggested Citation

  • Christopher F Baum, 2001. "MADFULLER: Stata module to perform Dickey-Fuller test on panel data," Statistical Software Components S418701, Boston College Department of Economics, revised 11 Feb 2006.
    • Handle: RePEc:boc:bocode:s418701
    Note: This module may be installed from within Stata by typing "ssc install madfuller". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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    Download full text from publisher

    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
    Download Restriction: no
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    Cited by:

    1. Ladislava Grochova & Ludek Kouba, 2010. "Elite Political Instability and Economic Growth: An Empirical Evidence from the Baltic States," MENDELU Working Papers in Business and Economics 2010-01, Mendel University in Brno, Faculty of Business and Economics.

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