IPSHIN: Stata module to perform Im-Pesaran-Shin panel unit root test
Abstractipshin estimates the t-test for unit roots in heterogeneous panels developed by Im, Pesaran and Shin (IPS, 1997). It allows for individual effects, time trends, and common time effects. Based on the mean of the individual Dickey-Fuller t-statistics of each unit in the panel, the IPS test assumes that all series are non-stationary under the null hypothesis. Lags of the dependent variable may be introduced to allow for serial correlation in the errors. The exact critical values of the t-bar statistic are given in IPS. After transformation by factors provided in the paper (available for no more than 8 lags on any series), the Psi[t-bar] statistic is distributed standard normal under the null hypothesis of nonstationarity. Users of Stata 11+ should use the official xtunitroot ips command.
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Bibliographic InfoSoftware component provided by Boston College Department of Economics in its series Statistical Software Components with number S419704.
Programming language: Stata
Requires: Stata version 8.2
Date of creation: 01 Aug 2001
Date of revision: 11 Jun 2007
Note: This module may be installed from within Stata by typing "ssc install ipshin". 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
Web page: http://fmwww.bc.edu/EC/
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For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F Baum).
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