LEVINLIN: Stata module to perform Levin-Lin-Chu panel unit root test

Fabian Bornhorst () and Christopher Baum

Statistical Software Components from Boston College Department of Economics

Abstract: levinlin estimates the panel unit root test developed by Levin, Lin and Chu (2002). The test assumes that each individual unit in the panel shares the same AR(1) coefficient, but allows for individual effects, time effects and possibly a time trend. Lags of the dependent variable may be introduced to allow for serial correlation in the errors. The test may be viewed as a pooled Dickey-Fuller test, or an Augmented Dickey-Fuller (ADF) test when lags are included, with the null hypothesis that of nonstationarity (I(1) behavior). After transformation, the t-star statistic is distributed standard normal under the null hypothesis of nonstationarity. Users of Stata 11+ should use the official xtunitroot llc command.

Language: Stata
Requires: Stata version 7.0
Keywords: panel data; stationarity; unit roots (search for similar items in EconPapers)
Date: 2001-07-16, Revised 2006-09-24
Note: This module may be installed from within Stata by typing "ssc install levinlin". 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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Citations: View citations in EconPapers (2)

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

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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:s419702

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