Hi,
I want to check for a unit-root in a strongly unbalanced panel data set. I am using the Stata 16 version for Mac. My dataset includes around 650 variables and around 420,000 observations.
When entering the command:
. xtunitroot fisher grossmargin, dfuller lags(10)
I get the message:
(119,908 missing values generated)
could not compute test for panel 2
could not compute test for panel 3
could not compute test for panel 4
could not compute test for panel 6
This list would continue for a few hundred rows. I cannot remove the panels with less than 10 lags as I do not want to experience the problem of "survivor's bias". I also do not want to "start" with fewer lags for the dfuller. Do you know a better way to test for a unit-root that does not require a balanced dataset?
Thank you!
I want to check for a unit-root in a strongly unbalanced panel data set. I am using the Stata 16 version for Mac. My dataset includes around 650 variables and around 420,000 observations.
When entering the command:
. xtunitroot fisher grossmargin, dfuller lags(10)
I get the message:
(119,908 missing values generated)
could not compute test for panel 2
could not compute test for panel 3
could not compute test for panel 4
could not compute test for panel 6
This list would continue for a few hundred rows. I cannot remove the panels with less than 10 lags as I do not want to experience the problem of "survivor's bias". I also do not want to "start" with fewer lags for the dfuller. Do you know a better way to test for a unit-root that does not require a balanced dataset?
Thank you!
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