XTCSB: Stata module to compute Multifactor cross-sectionally augmented panel unit root tests of CIPS* and CSB (Pesaran, Smith & Yamagata 2013)

Merwan Roudane ()

Statistical Software Components from Boston College Department of Economics

Abstract: xtcsb implements the two panel unit root tests proposed by Pesaran, Smith & Yamagata (2013, Journal of Econometrics 175, 94-115) for panels with a multifactor error structure: CIPS*: a truncated average of cross-sectionally augmented Dickey-Fuller (CADF) t-ratios. Generalises the test of Pesaran (2007) by adding the cross-section averages of k additional observable variables to handle m{sub:0} >= 1 unobserved factors. CSB: a cross-sectionally augmented Sargan-Bhargava test based on the partial sums of the residuals from an augmented first-difference regression. CSB has typically higher power than CIPS for small to moderate T.

Language: Stata
Requires: Stata version 14
Keywords: panel data; unit root tests (search for similar items in EconPapers)
Date: 2026-05-13
Note: This module should be installed from within Stata by typing "ssc install xtcsb". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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http://fmwww.bc.edu/repec/bocode/x/xtcsb.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtcsb.sthlp help file (text/plain)

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