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HADRILM: Stata module to perform Hadri panel unit root test

Christopher Baum ()

Statistical Software Components from Boston College Department of Economics

Abstract: hadrilm performs a test for stationarity in heterogeneous panel data (Hadri, 2000). This Lagrange Multiplier (LM) test has a null of stationarity, and its test statistic is distributed as standard normal under the null. The series may be stationary around a deterministic level, specific to the unit (i.e. a fixed effect) or around a unit-specific deterministic trend. The error process may be assumed to be homoskedastic across the panel, or heteroskedastic across units. The residual-based test is based on the squared partial sum process of residuals from a demeaning (detrending) model of level (trend) stationarity. This is version 1.0.3 of the software. Users of Stata 11+ should use the official xtunitroot hadri command.

Language: Stata
Requires: Stata version 7.0
Keywords: panel data; stationarity; unit roots (search for similar items in EconPapers)
Date: 2001-07-10, Revised 2003-04-08
Note: This module may be installed from within Stata by typing "ssc install hadrilm". Windows users should not attempt to download these files with a web browser.
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More software in Statistical Software Components from Boston College Department of Economics Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA. Contact information at EDIRC.
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Page updated 2017-11-24
Handle: RePEc:boc:bocode:s419701