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Table 8. Fisher-ADF Unit Root Tests: Eroare

This document presents the results of Fisher-ADF and IPS unit root tests conducted on several time series variables. The tests indicate that all variables are stationary except DTA which has no observations. P-values show the results are statistically significant. The note section provides details on how the tests were performed and their assumptions.

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Corovei Emilia
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98 views

Table 8. Fisher-ADF Unit Root Tests: Eroare

This document presents the results of Fisher-ADF and IPS unit root tests conducted on several time series variables. The tests indicate that all variables are stationary except DTA which has no observations. P-values show the results are statistically significant. The note section provides details on how the tests were performed and their assumptions.

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Corovei Emilia
Copyright
© © All Rights Reserved
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Download as DOCX, PDF, TXT or read online on Scribd
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Table 8.

Fisher-ADF unit root tests

IPS Fisher-ADF

Inv. chi- Inv.N Inv.L M.Inv chi-squared


squared
Y 5.2242 289.0765 -7.8869 -7.7616 8.3729
[0.0000] [0.0000] [0.0000] [0.0000] [0.0000]
IR eroare 338.3641 -10.0626 -10.1340 11.8545
[0.0000] [0.0000] [0.0000] [0.0000]
LCD 4.2964 317.6732 -9.4674 -9.2515 10.2338
[0.0000] [0.0000] [0.0000] [0.0000] [0.0000]
NLTA -2.9e+02 340.0471 -9.3286 -9.4563 11.3557
[0.0000] [0.0000] [0.0000] [0.0000] [0.0000]
NLDSTF -3.3667 329.6509 -9.9235 -9.6606 10.7474
[0.0000] [0.0000] [0.0000] [0.0000] [0.0000]
LNTA -6.5249 344.6588 -10.0917 -10.0691 11.6256
[0.0000] [0.0000] [0.0000] [0.0000] [0.0000]
DTA no 232.0073 -6.0057 -5.7901 5.8213
observations [0.0000] [0.0000] [0.0000] [0.0000]
ETA -2.3500 306.8447 -8.1812 -8.2069 9.4127
[0.0000] [0.0000] [0.0000] [0.0000] [0.0000]
NIM -6.2235 303.2418 -8.7357 -5.5980 9.2019
[0.0000] [0.0000] [0.0000] [0.0000] [0.0000]
NIROA 232.0073 189.7007 -4.1000 -3.9636 3.7025
[0.0000] [0.0005] [0.0000] [0.0000] [0.0001]
NPLGL insufficient 168.0675 -3.2912 -3.0668 2.3608
observations [0.0138] [0.0005] [0.0012] [0.0091]
DSTFTA -6.3928 321.7096 -9.0681 -9.0268 10.2826
[0.0000] [0.0000] [0.0000] [0.0000]

Note:

The Im–Pesaran–Shin (IPS) unit root tests do not require a the use of a balanced panel, hence they are performed over the
available data considering a constant and one lag in all regressions; the null hypothesis is that “all panels contain unit-roots”;
from the test for each variable, we report the respective statistic and p-value (in square brackets). The IPS test relaxes that
assumption and allows each panel to have its own autocorrelation coefficient. The Fisher-type unit-root tests are basedon
augmented Dickey–Fuller (Fisher-ADF) tests with drift and one lag in all regressions;the null hypothesis is that “all panels
contain unit-roots”; this test does not requires a balanced panel because the tests are conducted for each panel individually
before combining the p-values from those tests to produce the overall test; the statistics and respective p-values (in square
brackets) are reported for each type of Fishertest: inverse chi-squared, inverse normal, inverse logit and modified inverse chi-
squared. Δ is the first difference operator.

CE DA MANUALUL STATA LA EROAREA: Insufficient number of time periods to compute W-t-bar

For the asymptotic normal distribution of Z_t-tilde-bar to hold, T must be at least 5 if the dataset is strongly balanced and the
deterministic part of the model includes only panel-specific means, or at least 6 if time trends are also included. If the data are
not strongly balanced, then T must be at least 9 for the asymptotic distribution to hold. If these limits on T are not met, the p-
value for Z_t-tilde-bar is not reported.
insufficient observations (e practic alceva!!!! dar aceasi autori aplica pe autocorelae..vezi mai jos)

. As mentioned above, cross-sectional dependence is more of an issue in

macro panels with long time series (over 20-30 years) than in micro panels. Pasaran CD (cross-sectional dependence) test is
used to test whether the residuals are correlated across entities. Cross-sectional dependence can lead to bias in tests results
(also called contemporaneous correlation). The null hypothesis is that residuals are not correlated.

xtreg top1 demcont repcont top1lag, fe

xtcsd, pesaran abs

If the number to the right of “Pr” is less than .05 reject the null hypothesis that the residuals are not correlated. When I ran this
test I received the following error message: “The panel is highly unbalanced. Not enough common observations across panel to
perform Pesaran's test. insufficient observations”. Had cross-sectional dependence be present Hoechle suggests to use Driscoll
and Kraay standard errors using the command xtscc.

xtscc top1 demcont repcont top1lag, fe

Note: even though I received the error message above when I ran the xtcsd test, I did not receive an error message when I
executed the xtscc command.

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