{smcl}
{* 12/13/2004}
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help for {hi: xtfisher}{right:(Author: Scott Merryman)}
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{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unpublished Working Paper, Dept.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}