CIPS unit root test in STATA and also the way to report the results — Transcript

Full transcript

1. 0:01today we are going to discuss how to
2. 0:02conduct or execute the unit Roo test in
3. 0:06sta basically there are two types of
4. 0:08unit root tests uh the first one is the
5. 0:11first generation unit root test whereas
6. 0:14the other one are the second generation
7. 0:17unit root test now the second generation
8. 0:20unit root test allows a little bit uh
9. 0:23degree of dependency so uh they Relax
10. 0:26The Assumption of first generation test
11. 0:30basically uh there are two test that are
12. 0:33being used as the second generation unit
13. 0:35root test the first one is the cips and
14. 0:39the second is cadf these tests are
15. 0:43presented by pararan in 2007 uh today we
16. 0:46are going to conduct or execute cips
17. 0:50test that is basically called
18. 0:53cross-sectional
19. 0:55inin uh unit Ro test and this is the
20. 0:58test of stationarity
21. 1:00and the other is known as the
22. 1:02cross-sectional augmented Dick Fuller
23. 1:04test both these test can be used
24. 1:07interchangeably today we are going to
25. 1:08discuss the first one first of
26. 1:11all when we start the uh sta you can
27. 1:15import the files directly from here if
28. 1:19you click on the
29. 1:20file you can see the option of import
30. 1:23select the option and ex Excel sheet now
31. 1:28here you can see is the option of browse
32. 1:31we select this these are the data files
33. 1:36we will select the data
34. 1:40file that we
35. 1:43need now you can see here is the data
36. 1:47file and it is the cell
37. 1:50range here we have two option the first
38. 1:53one is import first row as the variable
39. 1:55name and the second option is import all
40. 1:58datas data strings so we will select the
41. 2:02first option we will import the first
42. 2:04row as the variable name and then we
43. 2:07click
44. 2:08okay our data is imported we will go to
45. 2:12the data editor section click the form
46. 2:15and you can see here the data is pasted
47. 2:19in the file okay
48. 2:23now there are basically two things which
49. 2:25need to be understand first the first
50. 2:28one is the creation of
51. 2:31of do file and the other is the logo
52. 2:36first you click add
53. 2:38file scroll down at logo and here you
54. 2:41can see the option
55. 2:44begin write it begin now here look at
56. 2:48this in e Drive data and in my data a
57. 2:52folder is created we will write its name
58. 2:56as we are going to do cips so we will
59. 2:58write it as S cips
60. 3:07logo and we will save it okay now you
61. 3:12can directly use control 9 to create the
62. 3:16do file here you can see the name of do
63. 3:19file and when we uh try to save
64. 3:23it it will again give us an option to
65. 3:26give it the name we are going to proceed
66. 3:28with the CIP s so we will write cips do
67. 3:34file okay and save
68. 3:44it I have already uh saved this file so
69. 3:48I will just open it okay now here you
70. 3:51can see the name do file
71. 3:53cips and we will copy all the commands
72. 3:58in the do file
73. 4:00and at the same time all the working of
74. 4:03the stata will be saved on the logo file
75. 4:07okay now you minimize it first of all we
76. 4:10have to set the data as the pedel data
77. 4:13so we are going to the
78. 4:15statistics and scroll down to the
79. 4:17longitudinal panel data and the first
80. 4:19one is the setup option now here declare
81. 4:24data set to be panel data click the
82. 4:27option here panel p panel ID ID variable
83. 4:30you click add this I have written it as
84. 4:34P ID sometimes students can write it as
85. 4:37code so SE select
86. 4:40accordingly here is the time variable
87. 4:42time variable is written as I have
88. 4:45written the time variable as years so I
89. 4:49will start select years if you write t
90. 4:53or whatever your variable name you
91. 4:55select that
92. 4:56variable and now
93. 4:59click okay now see here panel data P ID
94. 5:04strongly balanced time variables 2004 to
95. 5:082022 and now our data is pasted and also
96. 5:14arranged or set as the panel data now
97. 5:19there is another option to select this
98. 5:22data or to set this data you will direct
99. 5:25simply write s set
100. 5:29again you have to write the variable
101. 5:31names p and years y
102. 5:34e years and click enter you
103. 5:39see again it
104. 5:41is
105. 5:46selected now if you see here are the
106. 5:49command which I have uh put you can copy
107. 5:53the commands
108. 6:04and here as you see we have the two file
109. 6:08you can paste the commands
110. 6:10here these are the commands which we are
111. 6:13doing again minimize it now we will
112. 6:17write the command for cips test
113. 6:20basically it is a second generation unit
114. 6:23Tru test and we will
115. 6:26select variable for which we are going
116. 6:29to do the test here in the very right
117. 6:33corner you see the variable names we
118. 6:36will conduct the test for each variable
119. 6:38individually okay so what we are going
120. 6:40to do we are going to write XT
121. 6:47cips space our variable name if you see
122. 6:51here let's suppose we are going to this
123. 6:53take this variable fi double click on
124. 6:56fi then put a comma
125. 7:00we will
126. 7:01take Max leg 2 okay select
127. 7:06the
128. 7:12sorry Max
129. 7:15leg
130. 7:182 and BG
131. 7:22leg two as
132. 7:25well okay and we will select the trend
133. 7:30write the trend here and
134. 7:33enter now you see here is a table this
135. 7:36is the value of our cips or the cips for
136. 7:39our data set here are the critical
137. 7:42values at 10% 5% and 1% now look at this
138. 7:47our value is minus 1.24 7 that is
139. 7:50greater than all these values it means
140. 7:53we are accept accepting the null
141. 7:55hypothesis where the N hypothesis is
142. 7:58given as the homogeneous is panels and
143. 8:01nonstationary so what we will do we will
144. 8:04go with the first difference so again we
145. 8:08will write the same command just before
146. 8:10the variable name write D dot fi the d
147. 8:15means the difference and when we enter
148. 8:18it now look at the V value of our
149. 8:21variable that isus 3.71 one and here are
150. 8:25the critical values as we have seen
151. 8:27earlier now look at this value it is the
152. 8:31least or minimum than all these values
153. 8:35so what do we conclude we conclude that
154. 8:37we at this value or at the first
155. 8:41difference we are rejecting the null
156. 8:43hypothesis and conclude that panels are
157. 8:46heterogeneous and stationary and we will
158. 8:50say that stationary at first difference
159. 8:53now how would you
160. 8:55report
161. 8:57these to report the results of CIP test
162. 9:01we simply made this kind of a table in
163. 9:05the First Column you will write the
164. 9:06variable names and in the other two
165. 9:09columns we will write the results of
166. 9:12cips test if you
167. 9:16see he there are the values of uh cips
168. 9:20at level and these values are at the
169. 9:23first difference now at the first
170. 9:25difference you have seen these Stars
171. 9:28these three stars means these values are
172. 9:30significant at 1% okay now here are uh
173. 9:35some other variables we will conduct the
174. 9:37test for all the variable and make this
175. 9:40kind of
176. 9:41a table for the execution of results I
177. 9:45hope this video will be informative for
178. 9:47you if you like the video do remember to
179. 9:49share and like