XTMUNITROOT: Stata module providing fixed-T panel unit root tests with missing values

Merwan Roudane ()

Statistical Software Components from Boston College Department of Economics

Abstract: xtmunitroot implements the fixed-T panel unit root tests of Harris and Tzavalis (1999) and Karavias and Tzavalis (2014), extended to unbalanced panels with missing values exactly as in Karavias, Tzavalis and Zhang (2022). These tests are designed for panels with a large number of cross-section units N and a small, fixed number of time periods T. The model is an AR(1) panel, u(i,t) = rho*u(i,t-1) + e(i,t), and the test is H0: rho = 1 (every panel has a unit root) vs H1: rho infinity: z = (rho_hat - bias - 1) / sqrt(V/N) -> N(0,1) under H0. Because rho_hat is biased downward, the bias is negative; under stationarity z is large and negative, so the unit-root null is rejected in the lower tail.

Language: Stata
Requires: Stata version 14
Keywords: panel data; panel unit root; fixed-T; missing values (search for similar items in EconPapers)
Date: 2026-06-29
Note: This module should be installed from within Stata by typing "ssc install xtmunitroot". 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/xtmunitroot.ado
http://fmwww.bc.edu/repec/bocode/x/xtmunitroot.sthlp
http://fmwww.bc.edu/repec/bocode/x/xtmunitroot_example.do

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