Hello. Please help me.
My data is an unbalanced panel. Including 19 years and 28 countries.
I have cross-sectional dependency with the Friedman and Pesaran tests.
I have to use the CADF test to check the stationary.
What does lag mean in the command of this test? How should I detect the lag? Should I use Hannan Quinn test? What is its command in Stata?
CADF's command: pescadf x, lags(#)
Thanks for your help
My data is an unbalanced panel. Including 19 years and 28 countries.
I have cross-sectional dependency with the Friedman and Pesaran tests.
I have to use the CADF test to check the stationary.
What does lag mean in the command of this test? How should I detect the lag? Should I use Hannan Quinn test? What is its command in Stata?
CADF's command: pescadf x, lags(#)
Thanks for your help
