IDEAS home Printed from https://ideas.repec.org/c/boc/bocode/s456732.html
 

PESCADF: Stata module to perform Pesaran's CADF panel unit root test in presence of cross section dependence

Author

Listed:
  • Piotr Lewandowski

    (Warsaw School of Economics, Institute for Structural Research)

Programming Language

Stata

Abstract

pescadf runs the t-test for unit roots in heterogenous panels with cross-section dependence, proposed by Pesaran (2003). Parallel to Im, Pesaran and Shin (IPS, 2003) test, it is based on the mean of individual DF (or ADF) t-statistics of each unit in the panel. Null hypothesis assumes that all series are non-stationary. To eliminate the cross dependence, the standard DF (or ADF) regressions are augmented with the cross section averages of lagged levels and first-differences of the individual series (CADF statistics). Considered is also a truncated version of the CADF statistics, which has finite first and second order moments. The exact critical values of the t-bar statistic are given by Pesaran (2003). The critical values and summary statistics of the individual t are also given in the paper, so the Z[t-bar] statistic parallel to IPS (2003) Z[t-bar] (4.10) is distributed standard normal under the null hypothesis of nonstationarity.

Suggested Citation

  • Piotr Lewandowski, 2006. "PESCADF: Stata module to perform Pesaran's CADF panel unit root test in presence of cross section dependence," Statistical Software Components S456732, Boston College Department of Economics, revised 08 Oct 2007.
    • Handle: RePEc:boc:bocode:s456732
    Note: This module should be installed from within Stata by typing "ssc install pescadf". 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.
    as

    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/p/pescadf.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/p/pescadf.hlp
    File Function: help file
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Kyle McNabb, 2016. "Tax structures and economic growth: New evidence from the Government Revenue Dataset," WIDER Working Paper Series wp-2016-148, World Institute for Development Economic Research (UNU-WIDER).
    2. Montecino, Juan Antonio, 2018. "Capital controls and the real exchange rate: Do controls promote disequilibria?," Journal of International Economics, Elsevier, vol. 114(C), pages 80-95.
    3. Canarella, Giorgio & Miller, Stephen M. & Nourayi, Mahmoud M., 2013. "Firm profitability: Mean-reverting or random-walk behavior?," Journal of Economics and Business, Elsevier, vol. 66(C), pages 76-97.
    4. Chletsos Michael & Roupakias Stelios, 2020. "The effect of military spending on income inequality: evidence from NATO countries," Empirical Economics, Springer, vol. 58(3), pages 1305-1337, March.
    5. Daniel Goya, 2014. "The Multiple Impacts of the Exchange Rate on Export Diversification," Cambridge Working Papers in Economics 1436, Faculty of Economics, University of Cambridge.
    6. Kyoji Fukao & Cristiano Perugini, 2021. "The Long‐Run Dynamics of the Labor Share in Japan," Review of Income and Wealth, International Association for Research in Income and Wealth, vol. 67(2), pages 445-480, June.
    7. Mika, Alina & Zumer, Tina, 2017. "Indebtedness in the EU: a drag or a catalyst for growth?," Working Paper Series 2118, European Central Bank.
    8. Silvia Coderoni & Roberto Esposti, 2014. "Is There a Long-Term Relationship Between Agricultural GHG Emissions and Productivity Growth? A Dynamic Panel Data Approach," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 58(2), pages 273-302, June.
    9. Dina Azhgaliyeva, 2013. "What Makes Oil Revenue Funds Effective," International Conference on Energy, Regional Integration and Socio-economic Development 6023, EcoMod.
    10. Silvia CODERONI & Roberto ESPOSTI, 2011. "Is there a Long-Term Relationship between Agricultural GHG Emissions and Productivity Growth? The Case of Italian Agriculture," Working Papers 369, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
    11. Silvia Domeneghetti & Andrea Vaona, 2015. "Regional aspects of aggregate profitability dynamics in Italy," Working Papers 04/2015, University of Verona, Department of Economics.
    12. Erich Gundlach & Martin Paldam, 2016. "Socioeconomic transitions as common dynamic processes," Economics Working Papers 2016-06, Department of Economics and Business Economics, Aarhus University.
    13. Polemis, Michael & Tselekounis, Markos, 2019. "Does deregulation drive innovation intensity? Lessons learned from the OECD telecommunications sector," MPRA Paper 92770, University Library of Munich, Germany.
    14. Coderoni, Silvia & Esposti, Roberto, 2011. "Long-Term Agricultural GHG Emissions and Economic Growth: The Agricultural Environmental Kuznets Curve across Italian Regions," 2011 International Congress, August 30-September 2, 2011, Zurich, Switzerland 114426, European Association of Agricultural Economists.
    15. 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.
    16. Kyle McNabb, 2016. "Tax structures and economic growth: New evidence from the Government Revenue Dataset," WIDER Working Paper Series 148, World Institute for Development Economic Research (UNU-WIDER).

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:boc:bocode:s456732. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Christopher F Baum (email available below). General contact details of provider: https://edirc.repec.org/data/debocus.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.