Panel Unit-root Tests for Heteroskedastic Panels

Herwartz, Helmut / Simone Maxand / Fabian H. C. Raters / Yabibal M. Walle
Externe Publikationen (2018)

in: The Stata Journal 18 (1), 184-196

DOI: 10.1177/1536867X1801800111

In this article, we describe the command xtpurt, which implements the heteroskedasticity-robust panel unit-root tests suggested in Herwartz and Siedenburg (2008, Computational Statistics and Data Analysis 53: 137–150), Demetrescu and Hanck (2012a, Economics Letters 117: 10–13), and, recently, Herwartz, Maxand, and Walle (2017, Center for European, Governance and Economic Development Research Discussion Papers 314). While the former two tests are robust to time-varying volatility when the data contain only an intercept, the latter test is unique because it is asymptotically pivotal for trending heteroskedastic panels. Moreover, xtpurt incorporates lag-order selection, prewhitening, and detrending procedures to account for serial correlation and trending data.

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