https://www.researchgate.net/publication/5090583_Second_Generation_Panel_Unit_Root_Tests

I suggest you to read following publication.

Article Second Generation Panel Unit Root Tests

Both RATS and Stata can do the job.

Thank you Dr. Anagnostou.

I wiil try both.

Thnaks Łukasz Frąckowski.

I suggest the use of Eviews 9.

You can use RATS and Eviews 9. Rats has more test after. If you need analyze cointegration you can use CATS in RATS.

Best Regards and good luck 

Thank you for your responses both Dr. Mounir Belloumi and Dr. Manuel Jaén.

Is it possible to have the commands please? for stata users

I am sorry I  do not have them, but most routines are on the Stata library

best wishes

ageliki

for stata you can use two test for the second generation:

1- pescadf

2- xtcipsm

xtcips command in stata 13

multipurt command for first and secon generation panel data unitroot test ( Maddala and Wu 1999, Pesaran 2007) or

xtcips and pescadf for pesaran second generation unitroot tes (2007);

, xtunitroot breuitung variable , ro to compute Breuitung and Das ( 2005) second generation test

xtcips and pescadf for pesaran second generation unitroot tes (2007)

STATA or EVIEWS