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LEVINLIN: Stata module to perform Levin-Lin-Chu panel unit root test

Author

Listed:
  • Fabian Bornhorst

    (European University Institute)

  • Christopher F Baum

    (Boston College)

Programming Language

Stata

Abstract

levinlin estimates the panel unit root test developed by Levin, Lin and Chu (2002). The test assumes that each individual unit in the panel shares the same AR(1) coefficient, but allows for individual effects, time effects and possibly a time trend. Lags of the dependent variable may be introduced to allow for serial correlation in the errors. The test may be viewed as a pooled Dickey-Fuller test, or an Augmented Dickey-Fuller (ADF) test when lags are included, with the null hypothesis that of nonstationarity (I(1) behavior). After transformation, the t-star statistic is distributed standard normal under the null hypothesis of nonstationarity. Users of Stata 11+ should use the official xtunitroot llc command.

Suggested Citation

  • Fabian Bornhorst & Christopher F Baum, 2001. "LEVINLIN: Stata module to perform Levin-Lin-Chu panel unit root test," Statistical Software Components S419702, Boston College Department of Economics, revised 24 Sep 2006.
    • Handle: RePEc:boc:bocode:s419702
    Note: This module may be installed from within Stata by typing "ssc install levinlin". 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.
    as

    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/l/levinlin.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/l/levinlin.hlp
    File Function: help file
    Download Restriction: no
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    Citations

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    Cited by:

    1. Goohoon Kwon & Mr. Raphael A Espinoza, 2009. "Regional Financial Integration in the Caribbean: Evidence From Financial and Macroeconomic Data," IMF Working Papers 2009/139, International Monetary Fund.
    2. Garcia Callejas, Danny, 2010. "Corruption, Economic Freedom and Political Freedom in South America: In Pursuit of the missing Link," Borradores Departamento de Economía 7336, Universidad de Antioquia, CIE.

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