Solved – Levin Lin Chu test in Stata

panel datastata

I need to do a unit root test with my panel data. I have 1500 firms from 98-2000. I want to examine if my LOGwage variable has unit roots or not. When I xtset my panel by firm and year, Stata said that it's strongly balanced. But when I do the test xtunitroot llc wage if FirmID, it gives me "Levin-Lin-Chiu test requires strongly balanced data"?

Best Answer

You can use Fisher-type unit-root test which is based on augmented Dickey-Fuller tests. Stata command for the test is following:

xtunitroot fisher varname, dfuller lag(1)