Hi, I am doing augmented dickey-fuller unit root tests for panel data, I write:
xtunitroot fisher y, dfuller lags(1) trend
The output lists four different statistics with corresponding p-values; but how do I obtain the actual estimation of the test statistic (i.e. 'theta' in the generic test form)? Based on theta I can estimate rho (theta = rho - 1), which is the value of interest.
xtunitroot fisher y, dfuller lags(1) trend
The output lists four different statistics with corresponding p-values; but how do I obtain the actual estimation of the test statistic (i.e. 'theta' in the generic test form)? Based on theta I can estimate rho (theta = rho - 1), which is the value of interest.
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