Journal
STATA JOURNAL
Volume 18, Issue 1, Pages 184-196Publisher
SAGE PUBLICATIONS INC
DOI: 10.1177/1536867X1801800111
Keywords
st0519; xtpurt; xtunitroot; panel unit-root tests; nonstationary volatility; cross-sectional dependence; inflation
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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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