且不说各检验的一堆假设，要么原假设为
所有截面都不平稳（ Levin–Lin–Chu (2002), Harris–Tzavalis (1999), Breitung (2000; Breitung and Das 2005), Im–Pesaran–Shin (2003), and Fisher-type (Choi 2001) tests ），
要么所有截面都平稳（Hadri (2000) Lagrange multiplier (LM) test ）
而做微观研究往往有一大堆截面个体，这种检验让人倍受折磨
更重要的是我们处理的一般为非平衡面板，阉割成平衡的不甘心，有时也没办法。而对于非平衡面板的平稳性，Eviews厚着脸给出了LL*****PPF等结果，但是STATA的大姥姥是怎么说的呢，请看下面：

Date: Wed, 11 Aug 2004 15:41:45 -0400
From: Kit Baum <baum@bc.edu>
Subject: st: Re: Unit root tests for unbalanced data panels in Stata

Dear Jean
This question comes up from time to time on Statalist. I do not believe
that any of those routines will work with unbalanced panels. Some of
the underlying analytics for some of the tests may be compatible with
unbalanced panels (or at least timeseries without gaps) but none of the
routines {hadrilm, ipshin, levinlin, madfuller, nharvey} are
implemented to allow for unbalanced panels.
Thanks
Kit Baum

On Aug 11, 2004, at 3:06 PM, Salvati, Jean wrote:

> Dear Mister Baum,
>
> I work at the IMF, in the Econometric Support group. I saw in Sata's
> online help that you have written several ado files to perform unit
> root tests on panel data. Do these programs work with unbalanced
> panels? If not, do you know any program that supports unbalanced
> panels?
>
> Thanks a lot.
>
> Best regards,
>
> Jean Salvati
>  Econometric Support
>  (202) 623-7804
>  IS 12-1328