XTFISHER: Stata module to compute Fisher type unit root test for panel data

Statistical Software Components from Boston College Department of Economics

Abstract: xtfisher combines the p-values from N independent unit root tests, as developed by Maddala and Wu (1999). Based on the p-values of individual unit root tests, Fisher's test assumes that all series are non-stationary under the null hypothesis against the alternative that at least one series in the panel is stationary. Unlike the Im-Pesaran-Shin (1997) test (help ipshin), Fisher's test does not require a balanced panel.

Language: Stata
Requires: Stata version 8.2
Keywords: unit root; panel; Fisher (search for similar items in EconPapers)
Date: Written 2004-12-14
Note: This module may be installed from within Stata by typing "ssc inst xtfisher". Windows users should not attempt to download these files with a web browser.

Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/x/xtfisher.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtfisher.hlp help file (text/plain)

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