Panel data Perron and Dickey-Fuller unit tests give OPPOSING results for half of the variables in my data set.
I believe that this has to do with lag selection process.
After I saw the opposing results with:
xtunitroot fisher ldelay, dfuller lags(10)
I used:
xtunitroot fisher ldelay, dfuller lags(aic 10)
in order for the lag order to be selected automatically according to Akaike information criteria,
but it doesn't work.
I don't know: (a) how to manually select the optimal lag and (b) lets say the Perron and ADF test results are still opposing, which one should I choose?
Related Posts with Panel Data Unit Root Tests
egen =total(), by() issueHello - I'm attempting to create a variable (totalsharesheld) that is the aggregate of three differe…
godir - for working in directoriesDon't know why this never took off - I'm sure I publicized it years ago. For anyone who's interested…
Cut axis without excluding data pointsHi I am working on a twoway plot where one data point is quite large compared to the rest. However,…
QregplotHello - I am using qregplot command to plot quantile for one of my variable by using the Code: quie…
Marginsplot with catagorical variables on x axis - custom spacingI have a dataset where the outcome is binary (y), and a predictor variable is in the form of ordinal…
Subscribe to:
Post Comments (Atom)
0 Response to Panel Data Unit Root Tests
Post a Comment