xtunitroot — Panel-data unit-root tests
Title xtunitroot Panel-data unit - root tests Description Quick start Menu Syntax Options Remarks and examples Stored results Methods and formulas Acknowledgments References Also see Description xtunitroot performs a variety of tests for unit roots (or stationarity) in panel datasets. The Levin . Lin Chu (2002), Harris Tzavalis (1999), Breitung (2000; Breitung and Das 2005), Im Pesaran Shin (2003), and Fisher-type (Choi 2001) tests have as the null hypothesis that all the panels contain a unit root . The Hadri (2000) Lagrange multiplier (LM) test has as the null hypothesis that all the panels are (trend) stationary.
impact of cross-sectional dependence. lags(lag spec) specifies the lag structure to use for the ADF regressions performed in computing the test statistic. Specifying lags(#) requests that # lags of the series be used in the ADF regressions. The default is lags(1).
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