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The Stata Journal
Volume 18 Number 1: pp. 184-196



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Panel unit-root tests for heteroskedastic panels

Helmut Herwartz
University of Goettingen
Goettingen, Germany
Simone Maxand
University of Goettingen
Goettingen, Germany
Fabian H. C. Raters
University of Goettingen
Goettingen, Germany
raters@uni-goettingen.de
Yabibal M. Walle
University of Goettingen
Goettingen, Germany
Abstract.  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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View all articles by these authors: Helmut Herwartz, Simone Maxand, Fabian H. C. Raters, Yabibal M. Walle

View all articles with these keywords: xtpurt, xtunitroot, panel unit-root tests, nonstationary volatility, cross-sectional dependence, inflation

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