IPSHIN Procedure

@IPSHIN implements tests from Im, Pesaran and Shin(2003). The null is that all individuals have a unit root, with a very general alternative which allows some to have unit roots, and others not. This aggregates the ADF test statistics computed separately across individuals. Under the null, the average ADF statistic has a Normal limiting distribution as \(N \to \infty \). Alternative tests for unit roots in panel data are @Breitung, @LevinLin and @Hadri.

@IPSHIN( options ) series start end

Parameters

series	series to analyze
start, end	range of series to use. By default, the defined range of series.

Options

DET=NONE/[CONSTANT]/TREND

NONE is an error, but is included to keep the option similar to other unit root tests.

LAGS=(maximum number of) augmenting lags in the ADF regressions [Schwert's]

CRIT=[FIXED]/GTOS/AIC/BIC/HQ

Criterion to use to select the number of lags. This is done on an individual by individual basis. CRIT=FIXED uses the input LAGS on each. CRIT=GTOS starts with LAGS and drops lags until it hits one which has the marginal t with significance level set by the SLSTAY option. CRIT=AIC/BIC/HQ select the lag length using AIC, BIC (or SBC) or HQ.

SLSTAY=significance level to keep lag in model with METHOD=GTOS [.10]

SMPL=standard SMPL option[not used]

TITLE=title for output ["Im-Pesaran-Shin Unit Root Test: Series... "]

[PRINT]/NOPRINT

Variables Defined

%CDSTAT	the "zbar" (standardized Normal) statistic (REAL)
%TBAR	the average DF statistic (REAL)
%NGROUP	number of individuals (INTEGER)
%%ILAGS	lags used in individual analysis (VECT[INTEGER])

Example

open data pennxrate.dta

calendar(panelobs=34,a) 1970

data(format=dta) 1//1970:01 151//2003:01 year xrate ppp id capt realxrate lnrxrate oecd g7

@ipshin(smpl=g7,lags=8,crit=aic) lnrxrate

@ipshin(smpl=oecd,lags=8,crit=aic) lnrxrate

Sample Output

Im-Pesaran-Shin Unit Root Test: Series LNRXRATE

Test has large N on large T asymptotics

Null is Unit Root. Alternative is rho(i)<>1 for some i

Individual Specific Components: Constant

N 27

T 27 to 33

Avg P 1.185185 chosen from 8 by AIC

Statistic Signif Level

Z tbar -7.966357 0.000000

Z ttildebar -6.141353 0.000000