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XTFISHER: Stata module to compute Fisher type unit root test for panel data

Author

Listed:
  • Scott Merryman

    (Risk Management Agency, USDA)

Programming Language

Stata

Abstract

xtfisher combines the p-values from N independent unit root tests, as developed by Maddala and Wu (1999). Based on the p-values of individual unit root tests, Fisher's test assumes that all series are non-stationary under the null hypothesis against the alternative that at least one series in the panel is stationary. Unlike the Im-Pesaran-Shin (1997) test (ipshin or xtunitroot ips), Fisher's test does not require a balanced panel. Users of Stata 11+ should see the official xtunitroot fisher command.

Suggested Citation

  • Scott Merryman, 2004. "XTFISHER: Stata module to compute Fisher type unit root test for panel data," Statistical Software Components S448201, Boston College Department of Economics, revised 08 Sep 2005.
    • Handle: RePEc:boc:bocode:s448201
    Note: This module should be installed from within Stata by typing "ssc inst xtfisher". 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/x/xtfisher.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtfisher.hlp
    File Function: help file
    Download Restriction: no
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    Citations

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    Cited by:

    1. Konstantin M. Wacker, 2011. "The Impact of Foreign Direct Investment on Developing Countries' Terms of Trade," WIDER Working Paper Series wp-2011-006, World Institute for Development Economic Research (UNU-WIDER).
    2. Fotis, Panagiotis & Polemis, Michael, 2018. "The impact of market deregulation on milk price: A dynamic panel data approach," MPRA Paper 86542, University Library of Munich, Germany.

    More about this item

    Keywords

    unit root; panel; Fisher; Stata;
    All these keywords.

    Statistics

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