i am working on panel data having cross sectional dependence problem . as it shows cross sectional dependence by xtcdf command ,presence of cross sectional dependence demands pescadf and cips unit root to be tested will any one will guide me for pescadf output interpretation
1 how to decide about stationarity and non stationarity ( null hypothesis is : all series are non stationary).
2 whether to compare the absolute values
results for oil price is given below
Pesaran's CADF test for D.lop
Cross-sectional average in first period extracted and extreme t-values truncated
Deterministics chosen: constant
t-bar test, N,T = (15,29) Obs = 315
Augmented by 7 lags (average)
t-bar cv10 cv5 cv1 Z[t-bar] P-value
-0.090 -2.140 -2.250 -2.450 6.707 1.000
0 Response to Pescadf output interpretation
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