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XTMUNITROOT: Stata module providing fixed-T panel unit root tests with missing values

Author

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  • Merwan Roudane

Programming Language

Abstract

xtmunitroot implements the fixed-T panel unit root tests of Harris and Tzavalis (1999) and Karavias and Tzavalis (2014), extended to unbalanced panels with missing values exactly as in Karavias, Tzavalis and Zhang (2022). These tests are designed for panels with a large number of cross-section units N and a small, fixed number of time periods T. The model is an AR(1) panel, u(i,t) = rho*u(i,t-1) + e(i,t), and the test is H0: rho = 1 (every panel has a unit root) vs H1: rho infinity: z = (rho_hat - bias - 1) / sqrt(V/N) -> N(0,1) under H0. Because rho_hat is biased downward, the bias is negative; under stationarity z is large and negative, so the unit-root null is rejected in the lower tail.

Suggested Citation

  • Merwan Roudane, 2026. "XTMUNITROOT: Stata module providing fixed-T panel unit root tests with missing values," Statistical Software Components S459775, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s459775
    Note: This module should be installed from within Stata by typing "ssc install xtmunitroot". 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.
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    File URL: http://fmwww.bc.edu/repec/bocode/x/xtmunitroot.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/x/xtmunitroot.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/x/xtmunitroot_example.do
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