{smcl}
{* 15jul2001}{...}
{hline}
help for {hi:hadrilm}{right:(StataList distribution 20 July 2001)}
{hline}

{title:Hadri panel stationarity test}

{p 8 14}{cmd:hadrilm} {it:varname} 
[{cmd:if} {it:exp}] [{cmd:in} {it:range}] 

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

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

{p}Users of Stata 11+ should use the official {cmd:xtunitroot hadri} command.
 
{title:Description}

{p}{cmd: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.

{title:Examples}

{p 8 12}{inp:.} {stata "use http://fmwww.bc.edu/ec-p/data/hayashi/sheston91.dta,clear":use http://fmwww.bc.edu/ec-p/data/hayashi/sheston91.dta,clear}

{p 8 12}{inp:. hadrilm rgdppc if country<11}

{p 8 12}{inp:. hadrilm D.rgdppc if country<11}


{title:References}	

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

{title:Acknowledgements}	


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

{title:Author}

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

{title:Also see}
{p 0 19}On-line:  {help kpss} (if installed), {help nharvey} (if installed)