{smcl}
{* 15jul2001}{...}
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help for {hi:ipshin}{right:(StataList distribution 01 August 2001)}
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{title:Im-Pesaran-Shin panel unit root test}

{p 8 14}{cmd:ipshin} {it:varname} 
[{cmd:if} {it:exp}] [{cmd:in} {it:range}] {cmd:,lags({it:numlist})} [
{cmdab:t:rend} {cmdab:nod:emean }]

{p}{cmd:ipshin} is for use with panel data.  You must {cmd:tsset} your
data before using {cmd:ipshin}, 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 ips} command.

{title:Description}

 {p}{cmd:ipshin} estimates the t-test for unit roots in heterogeneous panels developed by Im,
 Pesaran and Shin (IPS, 2003).  It allows for individual effects, time trends, and common time effects.
 Based on the mean of the individual Dickey-Fuller t-statistics  of each unit in the panel, the IPS test 
 assumes that all series are non-stationary under the null hypothesis. Lags of the dependent variable may be introduced to allow for serial correlation in 
 the errors.  The exact critical values of the t-bar statistic are given in IPS. After transformation by factors
 provided in the paper, the W[t-bar] statistic (4.10) is distributed standard normal under the null
 hypothesis of nonstationarity. (Note that in the working paper version, this statistic was known as Psi-bar (5.3)). The tables in the paper limit the calculation of this statistic to a maximum of 8 lags in any series.

 {p} Unlike the Levin and Lin (1993) test, which assumes that all series are stationary under 
 the alternative, IPS is consistent under the alternative that only a fraction of the series
 are stationary. 


{title:Options}

{p 0 4}{cmd:lags} must be specified, and may take on any non-negative value. If a single
value is provided, that lag length is used for all individuals. If a list of lags is 
provided (perhaps with a local macro), its length must match the number of individuals
in the panel.

{p 0 4}{cmd:trend} includes a time trend in the estimated equation.

{p 0 4}{cmd:nodemean} omits the elimination of common time effects.


{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:. ipshin rgdppc if country<11, lag(2)}

{p 8 12}{inp:. ipshin rgdppc if country<11, lag(2 2 2 3 3 3 4 4 4 4) nodemean}

{p 8 12}{inp:. ipshin D.rgdppc if country<11, lag(2) trend}

{title:References}

Banerjee, Anindya. Panel Data Unit Roots and Cointegration: An Overview.
Oxford Bulletin of Economics and Statistics, Special Issue, 607-629, 1999.

Kyung So Im, M. Hashem Pesaran, Yongcheol Shin, Testing for Unit Roots in Heterogeneous
Panels. Journal of Econometrics, 2003, 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)

Levin, Andrew and Lin, Chien-Fu. Unit Root Tests in Panel Data:
New Results, University of California at San Diego Discussion Paper No. 93-56, 
1993.

{title:Acknowledgements}

We thank Gene Liang, Herbert Brƒcker and Piotr Lewandowski for pointing out errors in the routine.

{title:Authors}

Fabian Bornhorst, European University Institute, Italy, Fabian.Bornhorst@iue.it
Christopher F Baum, Boston College, USA, baum@bc.edu


{title:Also see}

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