Good afternoon,
I've tried to find a solution to my problem on the forum but couldn't find one - hence my post.
I have a panel dataset of companies listed on a stock exchange between 2000 and 2016, however, due to the nature of the analysis, the number of companies considered each year varies and, thus, STATA reads it as an unbalanced panel data with gaps. Nonetheless, I'm trying to conduct a unit root test and determine the number of lags necessary to include in my regression and none of the 'traditional' xtunitroot commands such as llc, ips, etc. work for unbalanced/dataset with gaps/etc. Perhaps, there is an SSC or a different method of conducting the unit root test and determining the number of lags in this case? Any advice would be highly appreciated.
Thank you.
I've tried to find a solution to my problem on the forum but couldn't find one - hence my post.
I have a panel dataset of companies listed on a stock exchange between 2000 and 2016, however, due to the nature of the analysis, the number of companies considered each year varies and, thus, STATA reads it as an unbalanced panel data with gaps. Nonetheless, I'm trying to conduct a unit root test and determine the number of lags necessary to include in my regression and none of the 'traditional' xtunitroot commands such as llc, ips, etc. work for unbalanced/dataset with gaps/etc. Perhaps, there is an SSC or a different method of conducting the unit root test and determining the number of lags in this case? Any advice would be highly appreciated.
Thank you.
