How to build a panel workfile and do the CADF test
Posted: Fri Oct 28, 2016 10:15 am
hello everybody,
I am trying to replicate the CADF test did by Pesaran for test unit root on panel data that allows for cross-section dependence.
My problem is that I don't know if my panel is did right, I followed the steps of staking data as in http://forums.eviews.com/viewtopic.php?t=74
and I have some doubts. Is it correct by having a look on the workfile page?
Then I want to proceed doing the CADF test on y_diff, is it sufficent to click on the series than on view-->unit root test-->specify test:individual root (Pesaran Im Shin)-->compare t-stat with cv from the paper of Pesaran?
I hope that somebody could kindly answer me
Giovanna
Ps. I have Eviews8
I am trying to replicate the CADF test did by Pesaran for test unit root on panel data that allows for cross-section dependence.
My problem is that I don't know if my panel is did right, I followed the steps of staking data as in http://forums.eviews.com/viewtopic.php?t=74
and I have some doubts. Is it correct by having a look on the workfile page?
Then I want to proceed doing the CADF test on y_diff, is it sufficent to click on the series than on view-->unit root test-->specify test:individual root (Pesaran Im Shin)-->compare t-stat with cv from the paper of Pesaran?
I hope that somebody could kindly answer me
Giovanna
Ps. I have Eviews8