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HADRILM: Stata module to perform Hadri panel unit root test

Author

Listed:
  • 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.

Suggested Citation

  • Christopher F Baum, 2001. "HADRILM: Stata module to perform Hadri panel unit root test," Statistical Software Components S419701, Boston College Department of Economics, revised 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.
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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
    File Function: help file
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    More about this item

    Keywords

    panel data; stationarity; unit roots;

    Statistics

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