XTMIXEDROOT: Stata module to compute the fraction of nonstationary (unit-root) units in a mixed panel: the Ng (2008) estimator with Westerlund (2016) bias-adjusted fixed-T inference

Merwan Roudane

Statistical Software Components from Boston College Department of Economics

Abstract: xtmixedroot estimates theta, the fraction of units in a panel whose autoregressive representation contains a unit root, and tests H0: theta = theta_0 for any theta_0 in (0,1]. Unlike conventional panel unit-root tests, which only test the extreme hypotheses that all units are nonstationary or all are stationary, xtmixedroot quantifies how many units are nonstationary, which is the quantity Pesaran (2012) recommends reporting alongside any panel unit-root test.

Language: Stata
Requires: Stata version 14
Keywords: panel data; unit roots; stationarity (search for similar items in EconPapers)
Date: 2026-07-13
Note: This module should be installed from within Stata by typing "ssc install xtmixedroot". 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/xtmixedroot.ado
http://fmwww.bc.edu/repec/bocode/x/xtmixedroot.sthlp
http://fmwww.bc.edu/repec/bocode/x/xtmixedroot_methods.sthlp
http://fmwww.bc.edu/repec/bocode/x/xtmixedroot_example.do

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