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HADRILM: Stata module to perform Hadri panel unit root test

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Author Info

  • Christopher F Baum

    ()
    (Boston College)

Abstract

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. Users of Stata 11+ should use the official xtunitroot hadri command.

Download Info

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File URL: http://fmwww.bc.edu/repec/bocode/h/hadrilm.ado
File Function: program code
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File URL: http://fmwww.bc.edu/repec/bocode/h/hadrilm.hlp
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Bibliographic Info

Software component provided by Boston College Department of Economics in its series Statistical Software Components with number S419701.

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Programming language: Stata
Requires: Stata version 7.0
Date of creation: 10 Jul 2001
Date of revision: 08 Apr 2003
Handle: RePEc:boc:bocode:s419701

Note: This module may be installed from within Stata by typing "ssc install hadrilm". 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; stationarity; unit roots;

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