PANELUNIT: Stata module to support unit root tests on panel data

Christopher Baum ()

Statistical Software Components from Boston College Department of Economics

Abstract: These routines are minor modifications of official Stata commands dfgls, dfuller and pperron which permit their use on a single time series of a panel dataset (as specified with an if or in qualifier). Dialogs are provided for each routine.

Language: Stata
Requires: Stata version 8.0 (6.0 for dfuller2, pperron2)
Keywords: unit root; panel; dfgls; dickey-fuller; phillips-perron (search for similar items in EconPapers)
Date: Written 2003-10-21
Note: This module may be installed from within Stata by typing "ssc install panelunit". Windows users should not attempt to download these files with a web browser.

Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/d/dfgls2.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/d/dfgls2.hlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/d/dfgls2.dlg dialog file (text/plain)
http://fmwww.bc.edu/repec/bocode/d/dfuller2.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/d/dfuller2.hlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/d/dfuller2.dlg dialog file (text/plain)
http://fmwww.bc.edu/repec/bocode/p/pperron2.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/p/pperron2.hlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/p/pperron2.dlg dialog file (text/plain)

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http://repec.org/docs/ssc.php

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