面板单位根检验(Stata)

面板单位根检验(Stata)

对于包含时间序列较长的面板数据，在回归前需要进行单位根检验，否则可能存在虚假回归问题。检验方法在Stata使用手册中可以查阅得到，包括LLC检验、HT检验、Breitung检验、IPS检验、fisher 检验以及Hardri LM检验。下面具体介绍相关命令及使用方法。

**# versions 17.0
**# 1 数据准备
 webuse pennxrate,clear  // 调用网页数据
 describe                //描述统计
*=====================================
**# 2 LLC检验

/*
note：
仅适用于长面板数据，即时间长度远大于截面个数 
假定不存在截面相关，否则存在显著性扭曲，需要先去截面均值
允许不同截面内自回归系数相同
必须是平衡面板
*/

 xtunitroot llc lnrxrate , demean lags(aic 10) kernel(bartlett nwest)

 /* 
 option:
 demean表示去截面均值
 lags(#) 表示序列变量差分的滞后项数#,其中截面滞后阶数相同
 lags(aic #) lags(bic #)  lags(hqic #) 表示分别以aic bic hqic准则判定最大滞后阶数# 
 trend 表示加入趋势项并默认加入个体固定项
 noconstant 表示趋势项与个体项都不加入
 trend和noconstant都不加默认个体固定项
 kernel(kernel_spec) 为核函数，估计渐进方差，具体设定包括 ba pa qu等)
 结果输出：
 
 Levin–Lin–Chu unit-root test for lnrxrate
-----------------------------------------

H0: Panels contain unit roots               Number of panels  =    151
Ha: Panels are stationary                   Number of periods =     34
AR parameter: Common                        Asymptotics: N/T -> 0
Panel means:  Included
Time trend:   Not included                  Cross-sectional means removed
ADF regressions: 2.18 lags average (chosen by AIC)
LR variance:     Bartlett kernel, 3.50 lags average 

                 (chosen by Newey–West)
------------------------------------------------------------------------------
                    Statistic      p-value
------------------------------------------------------------------------------
 Unadjusted t       -22.1334
 Adjusted t*         -1.8763        0.0303
------------------------------------------------------------------------------
调整t统计量为  -1.8763 ，伴随概率 0.0303<0.05，拒绝H0: Panels contain unit roots 
 */

*=====================================
**# 3 HT 检验
/*
note：
适合于时间维度较短的微观面板数据
允许不同截面内自回归系数相同
必须是平衡面板
*/

 xtunitroot ht lnrxrate , demean 
 /*
 option：
 trend 表示加入趋势项并默认加入个体固定项
 noconstant 表示趋势项与个体项都不加入
 trend和noconstant都不加默认个体固定项
 demean表示去截面均值
 robust:允许截面相关
 lags(#) 预白噪声化 #,其中截面滞后阶数相同
 结果输出：Harris-Tzavalis unit-root test for lnrxrate
-------------------------------------------
H0: Panels contain unit roots               Number of panels  =    151
Ha: Panels are stationary                   Number of periods =     34
AR parameter: Common                        Asymptotics: N -> Infinity
Panel means:  Included                                   T Fixed
Time trend:   Not included                  Cross-sectional means removed
------------------------------------------------------------------------------
                    Statistic         z         p-value
------------------------------------------------------------------------------
 rho                  0.8184      -13.1239       0.0000
------------------------------------------------------------------------------
 z = -13.1239  ，伴随概率 0.000<0.01，拒绝H0: Panels contain unit roots 
 */                                                                  
 *=====================================
**# 4 Breitung 检验
 /*
 option：
 1）允许不同截面内自回归系数相同
 2）必须是平衡面板
 */
 
 xtunitroot breitung lnrxrate if g7, lags(3) robust

 /*
 option:
trend:加入时间趋势
noconstant : 趋势项与个体项都不加入
demean :去截面均值
robust：允许截面相关
lags(#)  ：预白噪声数
结果：
Breitung unit-root test for lnrxrate
--------------------------------------
H0: Panels contain unit roots               Number of panels  =      6
Ha: Panels are stationary                   Number of periods =     34
AR parameter: Common                        Asymptotics:  T,N -> Infinity
Panel means:  Included                                        sequentially
Time trend:   Not included                  Prewhitening: 3 lags
------------------------------------------------------------------------------
                    Statistic      p-value
------------------------------------------------------------------------------
 lambda*             -1.2258        0.1101
------------------------------------------------------------------------------
 * Lambda robust to cross-sectional correlation
   统计量 lambda*  =  -1.2258  伴随概率  0.1101>0.1,不拒绝H0: Panels contain unit roots 
*/
 
 *=====================================
**# 5 IPS检验
/*
 不同截面内自回归系数不同
 允许非平衡
*/

 xtunitroot ips lnrxrate, lags(aic 5)

/*
option：
 trend :包含时间趋势
 demean :取截面均值
 lags(#) :为ADF回归设定滞后结构
结果输出：

Im–Pesaran–Shin unit-root test for lnrxrate
-------------------------------------------
H0: All panels contain unit roots           Number of panels  =    151
Ha: Some panels are stationary              Number of periods =     34
AR parameter: Panel-specific                Asymptotics: T,N -> Infinity
Panel means:  Included                                        sequentially
Time trend:   Not included
ADF regressions: 1.11 lags average (chosen by AIC)
------------------------------------------------------------------------------
                    Statistic      p-value
------------------------------------------------------------------------------
 W-t-bar            -15.2812        0.0000
------------------------------------------------------------------------------
Wt统计量 =  -15.2812 伴随概率0.000<0.01,拒绝H0: All panels contain unit roots 
*/
 *=====================================
**# 6 fisher 检验
/*
 不同截面内自回归系数不同
 允许非平衡
*/
 xtunitroot fisher lnrxrate, dfuller lags(3) drift
/*
option:
* dfuller ：使用 ADF 单位根检验
* pperron  :使用pp单位根检验
* lags(#) ：为ADF回归设定滞后结构
  demean 同上文

Fisher-type unit-root test for lnrxrate
Based on augmented Dickey–Fuller tests
---------------------------------------
H0: All panels contain unit roots           Number of panels  =    151
Ha: At least one panel is stationary        Number of periods =     34
AR parameter: Panel-specific                Asymptotics: T -> Infinity
Panel means:  Included
Time trend:   Not included
Drift term:   Included                      ADF regressions: 3 lags
------------------------------------------------------------------------------
                                  Statistic      p-value
------------------------------------------------------------------------------
 Inverse chi-squared(302)  P       916.1451       0.0000
 Inverse normal            Z       -18.8512       0.0000
 Inverse logit t(759)      L*      -19.5571       0.0000
 Modified inv. chi-squared Pm       24.9892       0.0000
------------------------------------------------------------------------------
 P statistic requires number of panels to be finite.
 Other statistics are suitable for finite or infinite number of panels.
------------------------------------------------------------------------------
上述逆卡方、逆正态、逆逻辑以及修正逆卡方统计量伴随概率均为0.000<0.01,故
拒绝H0: All panels contain unit roots   
*/
 *=====================================
**# 7 Hardri LM检验
 xtunitroot hadri lnrxrate, kernel(parzen 5)
/*
option作用同上文相关检验
  trend                  include a time trend
  demean                 subtract cross-sectional means
  robust                 allow for cross-sectional dependence
  kernel(kernel_spec)    specify method to estimate long-run varianc
*/

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