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IPSHIN: Stata module to perform Im-Pesaran-Shin panel unit root test

Author

Listed:
  • Fabian Bornhorst

    () (European University Institute)

  • Christopher F Baum

    () (Boston College)

Abstract

ipshin 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.

Suggested Citation

  • Fabian Bornhorst & Christopher F Baum, 2001. "IPSHIN: Stata module to perform Im-Pesaran-Shin panel unit root test," Statistical Software Components S419704, Boston College Department of Economics, revised 11 Jun 2007.
  • Handle: RePEc:boc:bocode:s419704
    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.
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    File URL: http://fmwww.bc.edu/repec/bocode/i/ipshin.ado
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/i/ipshin.hlp
    File Function: help file
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    More about this item

    Keywords

    panel data; stationarity; unit roots;

    Statistics

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