How to do Unit Root Test for Panel Data in Stata

This is a tutorial on how to carry out a unit root tests on the Panel Data on Stata. Before developing the model, let us start by understanding the data.

The Data

The data we use for this model is a panel data. The data has 3 variables (GDP, Unemployment and Inflation). Access the data here

The data is corrected from 4 countries, each from year 1990 to 1997 (8 years).

Therefore, each country has data from 1990–1997 for each of the three variables

The figure below is a summary of the data

Developing the Model

Out of the three variables (GDP, Unemployment and Inflation) we will use one variable (GDP) to check whether there is unit root or not in GDP data.

Steps:

After opening your Stata and importing the data in Excel, follow the following steps:

Step 1

Click Statistics, hover to Longitudinal/Panel Data >> Unit Root Tests

Click on Unit Root Tests as illustrated in the figure below: