IGF | R Documentation |

This function estimates the unit root regression based on instrument generating function of Change(2002) and returns useful outputs.

```
IGF(y, maxp, ic, spec)
```

`y` |
A univariate time series data |

`maxp` |
the max number of lags |

`ic` |
Information criteria, either "AIC" or "BIC" |

`spec` |
regression model specification. |

Estimate univariate unit root test of Chang(2002).

`tstat.IGF` |
IGF unit root test |

`beta` |
regression coefficients. The first one is the AR(1) coefficient of unit root, and the last one is the intercept or trend |

`sdev` |
The IGF standard error for unit root coefficient |

`cV` |
The scalar C in IGF equation |

`p` |
The optimal number of lag |

Ho Tsung-wu <tsungwu@ntnu.edu.tw>, College of Management, National Taiwan Normal University.

Chang, Y. (2002) Nonlinear IV Unit Root Tests in Panels with Cross-Sectional Dependency. Journal of Econometrics, 110, 261-292.

```
data(inf19)
y <- inf19[,1]
IGF(y,maxp=35,ic="BIC",spec=2)$tstat.IGF
```

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