output the results of xtunitroot

[River Huang]

Dear All, How can I output (word or excel) the testing results of -xtunitroot- command. For example,

webuse pennxrate, clear

xtunitroot llc lnrxrate if oecd, demean lags(aic 10) kernel(bartlett nwest)
outreg2 using "xtunitroot", word excel dec(4) replace
xtunitroot ht lnrxrate, demean
outreg2 using "xtunitroot", word excel dec(4) append

The error message is:

Thanks.

[Andrew Musau]

xtunitroot is an rclass command.

. webuse pennxrate, clear

. xtunitroot llc lnrxrate if oecd, demean lags(aic 10) kernel(bartlett nwest)

Levin-Lin-Chu unit-root test for lnrxrate
-----------------------------------------
Ho: Panels contain unit roots               Number of panels  =     27
Ha: Panels are stationary                   Number of periods =     34

AR parameter: Common                        Asymptotics: N/T -> 0
Panel means:  Included
Time trend:   Not included                  Cross-sectional means removed

ADF regressions: 1.33 lags average (chosen by AIC)
LR variance:     Bartlett kernel, 3.63 lags average
                 (chosen by Newey-West)
------------------------------------------------------------------------------
                    Statistic      p-value
------------------------------------------------------------------------------
 Unadjusted t       -13.0033
 Adjusted t*         -2.4486        0.0072
------------------------------------------------------------------------------

. return list

scalars:
              r(p_tds) =  .0071708307733762
            r(sig_adj) =  .8816666666666666
             r(mu_adj) =  -.5443333333333333
              r(delta) =  -.2589055638527971
           r(se_delta) =  .019910688554775
             r(Var_ep) =  1.103973195699569
               r(sbar) =  1.291965616288584
             r(ttilde) =  31.66666666666667
                 r(td) =  -13.00334557192932
                r(tds) =  -2.448589949277285
                r(N_g) =  27
                r(N_t) =  34
                  r(N) =  855
           r(hac_lagm) =  3.62962962962963
           r(adf_lagm) =  1.333333333333333

macros:
               r(test) : "llc"
             r(demean) : "demean"
     r(deterministics) : "constant"
         r(hac_kernel) : "bartlett"
         r(hac_method) : "nwest"
         r(adf_method) : "aic"

Therefore, you need to build the table in the dataset and export it using, e.g., export excel.

webuse pennxrate, clear
xtunitroot llc lnrxrate if oecd, demean lags(aic 10) kernel(bartlett nwest)
preserve
gen which=cond(_n==1, "Unadjusted t",   "Adjusted t*")
gen statistic = cond(_n==1, `r(td)', `r(tds)')
gen pval = cond(_n==2, `r(p_tds)',.)
keep which statistic pval
keep in 1/2
l
export excel using myfile, firstrow(variable) replace
restore

Res.:

. l

     +-------------------------------------+
     |        which   statistic       pval |
     |-------------------------------------|
  1. | Unadjusted t   -13.00335          . |
  2. |  Adjusted t*    -2.44859   .0071708 |
     +-------------------------------------+

[River Huang]

Dear Andrew, Many thanks for this helpful suggestion.