PESCADF runs the t-test for unit roots in heterogenous panels with cross-section dependence, proposed by Pesaran (2003). Parallel to Im, Pesaran and Shin (IPS, 2003) test, it is based on the mean of individual DF (or ADF) t-statistics of each unit in the panel. Null hypothesis assumes that all series are non-stationary. To eliminate the cross dependence, the standard DF (or ADF) regressions are augmented with the cross section averages of lagged levels and first-differences of the individual series (CADF statistics). Considered is also a truncated version of the CADF statistics which has finite first and second order moments. The exact critical values of the t-bar statistic are given by Pesaran (2003). The critical values and summary statistics of the individual t are also given in the paper, so the Z [t-bar] statistic (parallel to IPS (2003) Z [t-bar]) is distributed standard normal under the null hypothesis of nonstationarity. Windows users can install the test directly from Stata with a command “ssc install pescadf”. Program code Help file When using the script, please include the following citation: Lewandowski, P., 2007. PESCADF: Stata module to perform Pesaran’s CADF panel unit root test in presence of cross section dependence, Statistical Software Components. Boston College Department of Economics. Piotr Lewandowski, Institute for Structural Research
Analysts from our Institute collect, analyse and process large amounts of data in the course of their research. Here we share the results of their work, such as applications, scripts and databases. These materials are available free of charge. When using them, please cite the original source.
This set of crosswalks includes a full step-by-step mapping of the O*NET data, already translated to ISCO, to 4-digit KZiS 95, 02, 04 and 10 coding (used, e.g., for the Polish LFS data – BAEL). The .zip package contains: Stata .dta files with crosswalks for the ISCO-88 and KZiS 04, ISCO-08 and KZiS 10 as well as between consecutive editions of KZiS (95, 02, 04, 10). Stata do-file recoding the ISCO-level data, step-by-step, into the KZiS classifications. Running the do-file should be preceded by applying the ONET-SOC to ISCO crosswalks. The task item selection and bits of the Stata code were based on the work of David Autor and Daron Acemoglu Prepared by Wojciech Hardy, Institute for Structural Research and Faculty of Economics, University of Warsaw
Our crosswalks include a full step-by-step mapping of the O*NET data, coded with an extended version of SOC-00 and SOC-10 to ISCO-88 and ISCO-08 coding (used for most European data, including EU LFS). The .zip package contains: Stata .dta files with crosswalks for the ONET-SOC versions 00, 06, 09, 10, as well as crosswalks for SOC-00 and ISCO-88 and for SOC-10 and ISCO-08. Stata do-file recoding the O*NET data, step-by-step, into the ISCO-88 and ISCO-08 classifications. The do-file first cleans the O*NET dataset and prepares it for the matching. The task item selection and bits of the Stata code were based on the work of David Autor and Daron Acemoglu Prepared by Wojciech Hardy, Institute for Structural Research and Faculty of Economics, University of Warsaw