xtcipsunb: The CIPS Panel Unit Root Test for Unbalanced Panel Data

RePEc Short ID: pch972
ORCID iD: 0000-0003-0239-1909

Chudik, Alexander; Hoham, Benjamin

doi:10.24149/wp2619

Working Paper

xtcipsunb: The CIPS Panel Unit Root Test for Unbalanced Panel Data

Abstract: We develop and demonstrate the command xtcipsunb, which implements the cross-sectionally augmented panel unit root test (CIPS) from Pesaran (2007) and Pesaran, Smith and Yamagata (2013) for unbalanced panels. Several modifications relative to the existing Stata implementations of CIPS test are necessitated by the unbalanced panel data setting, including computing critical values through simulations for a given panel composition. We provide users the ability to specify a minimum number of cross-section units for the computation of cross-section averages, a minimum number of time periods for the computations of individual t-statistics in the CIPS test, as well as two options for the computation of cross-section averages. Monte Carlo experiments demonstrate our modifications are necessary to avoid potentially severe size distortions of the CIPS test in the case of unbalanced panels. An empirical application using annual country-industry macroeconomic data illustrates the use of xtcipsunb command.

JEL Classification: C12;

https://doi.org/10.24149/wp2619