Transcription of xtunitroot — Panel-data unit-root tests
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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. The top of the output for each test makes explicit the null and alternative hypotheses.
of the test statistic under the null hypothesis. When the number of time periods, T, is small (less than 10 or 15), the test suffers from severe size distortions when fixed effects or time trends are included; in these cases, using altt results in much improved size properties at the expense of significantly less power. Breitung options
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