Cross Sections Dropped in Unit Root Test

For technical questions regarding estimation of single equations, systems, VARs, Factor analysis and State Space Models in EViews. General econometric questions and advice should go in the Econometric Discussions forum.

Moderators: EViews Gareth, EViews Moderator

abdurrub
Posts: 14
Joined: Tue Jul 16, 2013 9:08 am

Cross Sections Dropped in Unit Root Test

Postby abdurrub » Tue Jul 16, 2013 9:49 am

I am working on a panel data and to proceed to Granger Causality test (between democracy and economic growth) I have to make sure that both are stationary. However, when I conduct the Unit Root test (ADF) for the Democracy data it drops 67 cross sections (3 for economic growth) out of the total of 189.

Could you please give me a hint about where I am going wrong.

I checked some of the cross sections have complete data but still dropped.

EViews Glenn
EViews Developer
Posts: 2671
Joined: Wed Oct 15, 2008 9:17 am

Re: Cross Sections Dropped in Unit Root Test

Postby EViews Glenn » Tue Jul 16, 2013 11:17 am

How many periods do you have in your panel?

abdurrub
Posts: 14
Joined: Tue Jul 16, 2013 9:08 am

Re: Cross Sections Dropped in Unit Root Test

Postby abdurrub » Tue Jul 16, 2013 11:25 am

60 periods.
189 countries from 1950 to 2010.



Thanks for the prompt reply though :)

EViews Glenn
EViews Developer
Posts: 2671
Joined: Wed Oct 15, 2008 9:17 am

Re: Cross Sections Dropped in Unit Root Test

Postby EViews Glenn » Tue Jul 16, 2013 1:04 pm

Any chance you can post your workfile?

abdurrub
Posts: 14
Joined: Tue Jul 16, 2013 9:08 am

Re: Cross Sections Dropped in Unit Root Test

Postby abdurrub » Tue Jul 16, 2013 1:21 pm

Workfile is attached.

Democracy is the 'Dem' series. Thanks for your help.
Attachments
workfile2.wf1
(1.33 MiB) Downloaded 307 times

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 13307
Joined: Tue Sep 16, 2008 5:38 pm

Re: Cross Sections Dropped in Unit Root Test

Postby EViews Gareth » Tue Jul 16, 2013 2:56 pm

The Unit Root test cannot be carried out on cross-sections for which there is no data (i.e. all NAs) or no variation among the data (i.e. the values are identical for every time period in that cross-section).
Follow us on Twitter @IHSEViews

abdurrub
Posts: 14
Joined: Tue Jul 16, 2013 9:08 am

Re: Cross Sections Dropped in Unit Root Test

Postby abdurrub » Wed Jul 17, 2013 2:09 am

Thank you Gareth !!

So does it mean the test stays valid for the available data?

Lalan_dk
Posts: 22
Joined: Tue Apr 10, 2018 9:51 pm

Re: Cross Sections Dropped in Unit Root Test

Postby Lalan_dk » Wed Sep 12, 2018 1:52 pm

Hi, i want to ask,
What is the minimum period in panel data to test for unit root?


Return to “Estimation”

Who is online

Users browsing this forum: No registered users and 26 guests