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XTCIPS: Stata module to compute Pesaran Panel Unit Root Test in the Presence of Cross-section Dependence

Máximo Sangiácomo

Statistical Software Components from Boston College Department of Economics

Abstract: xtcips estimates the CIPS test for unit roots in heterogeneous panels developed by Pesaran (2007; Section 4, p. 275-279). There are three specifications of the deterministics. It allows for individual dynamics specifications.

Language: Stata
Requires: Stata version 9
Keywords: panel; cross-section dependence; unit root; Pesaran (search for similar items in EconPapers)
Date: 2014-06-04, Revised 2018-11-16
Note: This module should be installed from within Stata by typing "ssc install xtcips". 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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Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/x/xtcips.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtcips.sthlp help file (text/plain)

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