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xtcipsunb: The CIPS Panel Unit Root Test for Unbalanced Panel Data

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Abstract

We develop and demonstrate the command xtcipsunb, which implements the cross-sectionally augmented panel unit root test (CIPS) from Pesaran (2007) and Pesaran, Smith and Yamagata (2013) for unbalanced panels. Several modifications relative to the existing Stata implementations of CIPS test are necessitated by the unbalanced panel data setting, including computing critical values through simulations for a given panel composition. We provide users the ability to specify a minimum number of cross-section units for the computation of cross-section averages, a minimum number of time periods for the computations of individual t-statistics in the CIPS test, as well as two options for the computation of cross-section averages. Monte Carlo experiments demonstrate our modifications are necessary to avoid potentially severe size distortions of the CIPS test in the case of unbalanced panels. An empirical application using annual country-industry macroeconomic data illustrates the use of xtcipsunb command.

Suggested Citation

  • Alexander Chudik & Benjamin Hoham, 2026. "xtcipsunb: The CIPS Panel Unit Root Test for Unbalanced Panel Data," Working Papers 2619, Federal Reserve Bank of Dallas.
    • Handle: RePEc:fip:feddwp:103516
    DOI: 10.24149/wp2619
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    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General

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