Hello,
I have an unbalanced panel data set consisting of N=25,102 and T between 1-35 years (on average T=9 years) and would like to perform an ARIMA analysis. I have run Fisher-type unit root tests as these are the only tests that allow for unbalanced panel data, as far as I understand. The four tests all reject the null hypothesis of "All panels contain unit roots" at the 1% level. My question is what does this tell me about stationarity? It could be the case that only one or only a tiny share of the panels are stationary. Isn't the result trivial? Is this result sufficient to assume stationarity in my panel?
Thank you in advance for your help,
Mia
Related Posts with Interpreting Fisher-type unit root tests in panel data
Correlation between two categorical variablesI have two questions regarding the correlation between two categorical variables. 1) If using Crame…
Observations used in the estimation of a particular coefficientDear Statalist users, I am looking for a way to find the number of observations used to estimate a …
Link suppliers-customer's transaction records by yearsHi Stata Users, I am using Stata for my project that links supplier-customer transaction records. …
Population size (with sampling weights) != actual population sizeI'm performing some analyses were I need to draw a stratified two-stage sample from some population …
Analysis of panel data with different time spansHello I am preparing my thesis but I can not process further due to the problem of merging data. I h…
Subscribe to:
Post Comments (Atom)
0 Response to Interpreting Fisher-type unit root tests in panel data
Post a Comment