Fisher-type unit-root test for lndpi
Based on augmented Dickey-Fuller tests
--------------------------------------
Ho: All panels contain unit roots Number of panels
> =
> 17
Ha: At least one panel is stationary Number of period
> s
> =
> 10
AR parameter: Panel-specific Asymptotics: T -
> > Infinity
Panel means: Included
Time trend: Included Cross-sectional
> means removed
Drift term: Not included ADF regressions:
> 1 lag
------------------------------------------------------------
> ------------------
Statistic p-value
------------------------------------------------------------
> ------------------
Inverse chi-squared(34) P 25.3347 0.8585
Inverse normal Z 1.7316 0.9583
Inverse logit t(89) L* 1.8521 0.9663
Modified inv. chi-squared Pm -1.0508 0.8533
----------------------------------------------------------
Fisher-type unit-root test for dlndpi
Based on augmented Dickey-Fuller tests
--------------------------------------
Ho: All panels contain unit roots Number of panels
> =
> 17
Ha: At least one panel is stationary Number of period
> s
> =
> 9
AR parameter: Panel-specific Asymptotics: T -
> > Infinity
Panel means: Included
Time trend: Included Cross-sectional
> means removed
Drift term: Not included ADF regressions:
> 1 lag
------------------------------------------------------------
> ------------------
Statistic p-value
------------------------------------------------------------
> ------------------
Inverse chi-squared(34) P 131.7196 0.0000
Inverse normal Z -4.5989 0.0000
Inverse logit t(89) L* -7.4618 0.0000
Modified inv. chi-squared Pm 11.8502 0.0000
根据 help xtunitroot:That is, these tests conduct unit−root tests for each panel individually, and then combine the p−values from these tests to produce an overall test. 所以 ADF 是针对每一个个体计算 $t$ 或 $p$ 值,然后再整合一起(所以你看不到 adf 的值)!