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

  • Fabian Bornhorst


    (European University Institute)

  • Christopher F Baum


    (Boston College)

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.

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Software component provided by Boston College Department of Economics in its series Statistical Software Components with number S419702.

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Programming language: Stata
Requires: Stata version 7.0
Date of creation: 16 Jul 2001
Date of revision: 24 Sep 2006
Handle: RePEc:boc:bocode:s419702
Note: This module may be installed from within Stata by typing "ssc install levinlin". Windows users should not attempt to download these files with a web browser.
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