For example, when I set the maximum lag length for this variable to 4, I reject the null of a unit root
Code:
xtunitroot llc dcaptolab, lags(aic 4) Levin-Lin-Chu unit-root test for dcaptolab ------------------------------------------ Ho: Panels contain unit roots Number of panels = 10 Ha: Panels are stationary Number of periods = 20 AR parameter: Common Asymptotics: N/T -> 0 Panel means: Included Time trend: Not included ADF regressions: 0.50 lags average (chosen by AIC) LR variance: Bartlett kernel, 8.00 lags average (chosen by LLC) ------------------------------------------------------------------------------ Statistic p-value ------------------------------------------------------------------------------ Unadjusted t -13.9013 Adjusted t* -10.8931 0.0000 ------------------------------------------------------------------------------
Code:
xtunitroot llc dcaptolab, lags(aic 8) Levin-Lin-Chu unit-root test for dcaptolab ------------------------------------------ Ho: Panels contain unit roots Number of panels = 10 Ha: Panels are stationary Number of periods = 20 AR parameter: Common Asymptotics: N/T -> 0 Panel means: Included Time trend: Not included ADF regressions: 6.70 lags average (chosen by AIC) LR variance: Bartlett kernel, 8.00 lags average (chosen by LLC) ------------------------------------------------------------------------------ Statistic p-value ------------------------------------------------------------------------------ Unadjusted t -5.8614 Adjusted t* 8.1148 1.0000 ------------------------------------------------------------------------------
I'm not very familiar with time-series data analysis, so I'm not really sure theoretically why I'm getting such different results here, what they mean, and which options to proceed with. Any help would be greatly appreciated!
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