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

Author

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  • Christopher F Baum

    () (Boston College)

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". Windows users should not attempt to download these files with a web browser.
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    File URL: http://fmwww.bc.edu/repec/bocode/m/madfuller.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/m/madfuller.hlp
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    Keywords

    panel data; time series; unit root; Dickey-Fuller;

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