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help for  xtfisher                                    (Author:  Scott Merryman)
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Fisher type unit root test for panel data

        xtfisher varname [if exp] [in range] [, trend, drift lags(numlist) pp
               display]

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

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


Description

 
xtfisher combines the p-values from 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.

 
Unlike the Im-Pesaran-Shin (1997) test (see ipshin), Fisher's test does not
require a balanced panel.

Options

lags specifies the number of lagged difference terms to include in the
    covariate list.

trend specifies that a trend term be included in the associated regression.
    This option may not be used with the drift option.

drift indicates that the process under the null hypothesis is a random walk
    with nonzero drift.  This option may not be used with pp or trend.

pp indicates that the Phillips-Perron test pperron is used rather than the
    Augmented Dickey Fuller dfuller.

display presents the individual unit root tests.

 Examples

        . webuse grunfeld, clear

        . xtfisher invest, trend lag(1)

        . xtfisher mvalue, lag(2) pp

References

Kyung So Im, M. Hashem Pesaran, Yongcheol Shin. (2003). 'Testing for Unit Roots
>  in Heterogeneous
Panels',  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unpublished Working Paper, Dept.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',  Oxford Bulletin of Economics and Statistics 61, 6
> 31-652.

Acknowledgements

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

Author

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

Also see

On-line:  help for dfuller, pperron, madfuller (if installed), levinlin (if
                   installed), ipshin (if installed)