{smcl}
{* 12/13/2004}
{hline}
help for {hi: xtfisher}{right:(Author:  Scott Merryman)}
{hline}

{title:Fisher type unit root test for panel data}

{p 8 15}{cmd:xtfisher} {it:varname} 
[{cmd:if} {it:exp}] [{cmd:in} {it:range}] 
[,{cmd: trend, drift lags(numlist) pp display}]

{p}{cmd:xtfisher} is for use with panel data.  You must {cmd:tsset} your
data before using {cmd:xtfisher}, using the panel form of {cmd:tsset}; see help {help tsset}.

{p} {it:varname} may contain time-series operators; see help {help varlist}.


{title:Description}

 {p}{cmd:xtfisher} combines the p-values from {it: N} independent unit root tests, as developed by Maddala
  and Wu (1999).  Based on the p-values of individual unit root tests, Fisher's test assumes that all series 
  are non-stationary under the null hypothesis against the alternative that at least one series in the panel is stationary.
 
 {p} Unlike the Im-Pesaran-Shin (1997) test (see {help ipshin}), Fisher's test does not require a balanced panel.
  
{title:Options}

{p 0 4}{cmd:lags}  specifies the number of lagged difference terms to include in the covariate list.

{p 0 4}{cmd:trend} specifies that a trend term be included in the associated regression.  This option may
        not be used with the drift option.

{p 0 4}{cmd:drift} indicates that the process under the null hypothesis is a random walk with nonzero
        drift.  This option may not be used with {cmd:pp} or {cmd:trend}.

{p 0 4}{cmd:pp} indicates that the Phillips-Perron test {help pperron} is used rather than the Augmented Dickey Fuller {help dfuller}.

{p 0 4}{cmd:display} presents the individual unit root tests.

{title: Examples}

{p 8 12}{inp:.} {stata "webuse grunfeld,clear":webuse grunfeld, clear}

{p 8 12}{inp:. xtfisher invest, trend lag(1) }

{p 8 12}{inp:. xtfisher mvalue, lag(2) pp}

{title:References}

Kyung So Im, M. Hashem Pesaran, Yongcheol Shin. (2003). 'Testing for Unit Roots in Heterogeneous
Panels', {it: Journal of Econometrics}, 115, 53-74. Earlier version available as 
unpublished Working Paper, Dept. of Applied Economics, University of Cambridge, 
Dec. 1997 (http://www.econ.cam.ac.uk/faculty/pesaran/lm.pdf)

Maddala, G.S. and Wu, Shaowen. (1999). 'A Comparative Study of Unit Root Tests With Panel 
Data and A New Simple Test', {it: Oxford Bulletin of Economics and Statistics} 61, 631-652.

{title:Acknowledgements}

This was developed from Luca Nunziata's -xtfptest- and -xtdftest- 
( http://www.nuff.ox.ac.uk/users/nunziata/software.htm )

{title:Author}

Scott Merryman.  Risk Management Agency, USDA.  smerryman@kc.rr.com

{title:Also see}

{p 0 19}On-line:  help for {help dfuller},  {help pperron}, {help madfuller} (if installed), {help levinlin}  (if installed),  {help  ipshin}  (if installed)  {p_end}