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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"?

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  • $\begingroup$ Btw: The test is called Levin–Lin–Chu ( Levin–Lin–Chu (2002)), not Levin–Lin–Chiu even if it seems the error message by Stata contains a typo. $\endgroup$
    – Helix123
    May 16, 2021 at 11:42

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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)
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