Pescadf: not reporting value of test statistic and p-value

[Elizabeth Nedumparambil]

Hi all,

I have an unbalanced panel of around 900 companies for a period of 81 months. I have used the pescadf (user written) command for the unit root test since my dataset exhibits cross-sectional dependence. However, the result does not report the value of the test statistic and the corresponding p-value. Mentioned below is the command used followed by the result obtained.

 pescadf alr, trend lags(1)

Pesaran's CADF test for alr
Cross-sectional average in first period extracted and extreme t-values truncated
Deterministics chosen: constant & trend
panel is unbalanced, only standarized Ztbar statistic can be calculated

Z[t-bar] test, (N,T1-T1467) = (1467, 74 80 76 74 76 72 78 75 81 76 75 76 64 74 62 76 78 72 63 70 80 60 74 74 72 74 75 64 76 74 74 79 69 77 69 81 61 79 67 74 69 77 72 67 78 71 71 75 79 79 73 74 74 73 73 78 66 76 81 72 78 76 78 79 67 69 73 78 70 78 79 72 72 80 78 67 69 77 74 72 78 75 78 74 75 80 79 77 76 69 72 64 80 75 76 79 79 73 80)

Obs = 106995  Augmented by 1 lags (average) 

    Z[t-bar]  P-value
        .        .

Can someone help me identify why the values are not reported.

Thank you

Elizabeth N

[Kaibalya Pati Mishra]

Hi, I am facing a similar issue, what to do?