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IPSHIN: Stata module to perform Im-Pesaran-Shin panel unit root test

Fabian Bornhorst () and Christopher Baum ()

Statistical Software Components from Boston College Department of Economics

Abstract: ipshin estimates the t-test for unit roots in heterogeneous panels developed by Im, Pesaran and Shin (IPS, 1997). It allows for individual effects, time trends, and common time effects. Based on the mean of the individual Dickey-Fuller t-statistics of each unit in the panel, the IPS test assumes that all series are non-stationary under the null hypothesis. Lags of the dependent variable may be introduced to allow for serial correlation in the errors. The exact critical values of the t-bar statistic are given in IPS. After transformation by factors provided in the paper (available for no more than 8 lags on any series), the Psi[t-bar] statistic is distributed standard normal under the null hypothesis of nonstationarity. Users of Stata 11+ should use the official xtunitroot ips command.

Language: Stata
Requires: Stata version 8.2
Keywords: panel data; stationarity; unit roots (search for similar items in EconPapers)
Date: 2001-08-01, Revised 2007-06-11
Note: This module may be installed from within Stata by typing "ssc install ipshin". The module is made available under terms of the GPL v3 ( Windows users should not attempt to download these files with a web browser.
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