{"id":2243,"date":"2016-04-06T23:12:46","date_gmt":"2016-04-06T21:12:46","guid":{"rendered":"https:\/\/ibs.org.pl\/resources\/pescadf-stata-module-to-perform-pesarans-cadf-panel-unit-root-test-in-presence-of-cross-section-dependence\/"},"modified":"2023-01-02T02:25:18","modified_gmt":"2023-01-02T01:25:18","slug":"pescadf-stata-module-to-perform-pesarans-cadf-panel-unit-root-test-in-presence-of-cross-section-dependence","status":"publish","type":"resources","link":"https:\/\/ibs.org.pl\/en\/resources\/pescadf-stata-module-to-perform-pesarans-cadf-panel-unit-root-test-in-presence-of-cross-section-dependence\/","title":{"rendered":"PESCADF: Stata module to perform Pesaran&#8217;s CADF panel unit root test in presence of cross section dependence"},"content":{"rendered":"\n<p>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.<\/p>\n\n\n\n<p>Windows users can install the test directly from Stata with a command \u201cssc install pescadf\u201d.<\/p>\n\n\n\n<p><a href=\"http:\/\/fmwww.bc.edu\/repec\/bocode\/p\/pescadf.ado\" target=\"_blank\" rel=\"noreferrer noopener\">Program code<\/a><br><a href=\"http:\/\/fmwww.bc.edu\/repec\/bocode\/p\/pescadf.hlp\" target=\"_blank\" rel=\"noreferrer noopener\">Help file<\/a><\/p>\n\n\n\n<p>When using the script, please include the following citation:<\/p>\n\n\n\n<p>Lewandowski, P., 2007. PESCADF: Stata module to perform Pesaran\u2019s CADF panel unit root test in presence of cross section dependence, Statistical Software Components. Boston College Department of Economics.<\/p>\n\n\n\n<p><a href=\"https:\/\/ibs.org.pl\/en\/team\/piotr-lewandowski\/\" target=\"_blank\" rel=\"noreferrer noopener\">Piotr Lewandowski<\/a>, Institute for Structural Research<\/p>\n","protected":false},"featured_media":2096,"template":"","resources_category":[119],"class_list":["post-2243","resources","type-resources","status-publish","has-post-thumbnail","hentry","resources_category-script"],"acf":[],"yoast_head":"<!-- This site is optimized with the Yoast SEO plugin v27.5 - https:\/\/yoast.com\/product\/yoast-seo-wordpress\/ -->\n<title>PESCADF: Stata module to perform Pesaran&#039;s CADF panel unit root test in presence of cross section dependence - IBS - Instytut Bada\u0144 Strukturalnych<\/title>\n<meta name=\"robots\" content=\"index, follow, max-snippet:-1, max-image-preview:large, max-video-preview:-1\" \/>\n<link rel=\"canonical\" href=\"https:\/\/ibs.org.pl\/en\/resources\/pescadf-stata-module-to-perform-pesarans-cadf-panel-unit-root-test-in-presence-of-cross-section-dependence\/\" \/>\n<meta property=\"og:locale\" content=\"en_US\" \/>\n<meta property=\"og:type\" content=\"article\" \/>\n<meta property=\"og:title\" content=\"PESCADF: Stata module to perform Pesaran&#039;s CADF panel unit root test in presence of cross section dependence - 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