------------------------------------------------------------------------------- help for xtfisher (Author: Scott Merryman) -------------------------------------------------------------------------------

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.


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.


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.


. webuse grunfeld, clear

. xtfisher invest, trend lag(1)

. xtfisher mvalue, lag(2) pp


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 Earlier version available as unpublished Working Paper, Dept.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.


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


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)