MULTIPURT: Stata module to run 1st and 2nd generation panel unit root tests for multiple variables and lags

Markus Eberhardt

Statistical Software Components from Boston College Department of Economics

Abstract: The xtcd command runs the Maddala and Wu (1999) as well as the Pesaran (2007) panel unit root tests for multiple variables and lags. This is not a new command for these panel unit root tests but a convenient tool using the existing xtfisher and pescadf commands written by Scott Merryman and Piotr Lewandowski respectively.

Language: Stata
Requires: Stata version 10, xtfisher, pescadf from SSC
Keywords: Panel data; Common Factor Model; Cross-Section Dependence; Panel Unit Root Test (search for similar items in EconPapers)
Date: 2011-02-06, Revised 2011-02-08
Note: This module should be installed from within Stata by typing "ssc install multipurt". 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/m/multipurt.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/m/multipurt.sthlp help file (text/plain)

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