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help for hadrilm                          (StataList distribution 20 July 2001)
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Hadri panel stationarity test

        hadrilm varname [if exp] [in range]

hadrlim is for use with panel data.  You must tsset your data before using
hadrilm, using the panel form of tsset; see help tsset.

varname may contain time-series operators; see help varlist.

Users of Stata 11+ should use the official xtunitroot hadri command.

Description

hadrilm performs a test for stationarity in heterogeneous panel data (Hadri,
2000). This Lagrange Multiplier (LM) test has a null of stationarity, and its
test statistic is distributed as standard normal under the null.  The series
may be stationary around a deterministic level, specific to the unit (i.e. a
fixed effect) or around a unit-specific deterministic trend.  The error process
may be assumed to be homoskedastic across the panel, or heteroskedastic across
units. Serial dependence in the disturbances can also be taken into account
using a Newey-West estimator of the long run variance.  The residual-based test
is based on the squared partial sum process of residuals from a demeaning
(detrending) model of level (trend) stationarity.

Test results and p-values are placed in the return array.

Examples

        . use http://fmwww.bc.edu/ec-p/data/hayashi/sheston91.dta,clear

        . hadrilm rgdppc if country<11

        . hadrilm D.rgdppc if country<11


References      

Hadri, Kaddour. Testing for stationarity in heterogeneous panel data.
The Econometrics Journal, 3, 2000, 148-161.

Acknowledgements        


Thanks to Kameliia Petrova for assistance with validation of this code.

Author

Christopher F Baum, Boston College, USA
baum@@bc.edu

Also see
On-line:  kpss (if installed), nharvey (if installed)