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sts test adoptinc

Unit Root Tests for Panel Data: search typing: findit unit root try xtfisher

Time-Series Cross-Sectional Data (TSCS) or Panel Data:

NOTE: One popular model is the Error Correction Model.  Kelly and Witko, AJPS,  April, 2012, estimate this model by using xtpcse with the dependent variable being the change (i.e., first difference), using a lagged value of the dependent variable as an independent variable and then using both first differences and lagged values of each of the other independent variables.  You can create first differences by mearly putting d. in front of the variable (i.e., d.elderi would be the first difference – the present time period minus the previous time period).  You can create lagged variables by putting l. in front of the variable (i.e., l.elderi would be the previous time period score for elderi).  Kelly and Witko did not use an adjustment for either autocorrelation or heteroscedasticity.  Just a standard xtpcse model as discussed above.

In the following TSCS analysis the data are stacked by state and year (e.g., observations 1-40 are 40 consecutive years for state number  #1, observations 41-80 are the same 40 annual observations for state #2, etc.).  The dependent variable is top1 and the independent variables are demcont, repcont and  top1lag. In some of the models state dummy variables al-wi appear. If the inclusion of the state dummy variables causes perfect collinearity with the unit variable (i.e., stnum), then just run what is described ahead as the “fixed effects” model.  The estimators examined are fixed effects (fe), random effects (re)  and between effects (be).    Before estimating any of these models type: xtset stnum year, yearly (i.e., data are stacked by “stnum” – the state’s number and year with the data being annual).  If the resulting output says “strongly balanced” it means that all states had data for all years.  If there is not data for some states in some years then it will say “unbalanced.”  

Before doing any analysis, download the following tests:

ssc install xtcsd

ssc install xtscc

ssc install xttest2

ssc install xttest3

ssc install xtoverid

ssc install ivreg2

ssc install ivreg28

ssc install ivreg29

ssc install xtfisher

findit xtserial (this test use to be able to be installed through the ssc option but no longer is – if you go through “findit xtserial” you’ll get an option to install it)

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