IGF: Unit root test based on Change(2002)

In pdR: Threshold Model and Unit Root Tests in Cross-Section and Time Series Data

Unit root test based on Change(2002)

Description

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

Usage

IGF(y, maxp, ic, spec)

Arguments

y	A univariate time series data
maxp	the max number of lags
ic	Information criteria, either "AIC" or "BIC"
spec	regression model specification. =0, no intercept and trend. =1, intercept only. =2, intercept and trend.

Details

Estimate univariate unit root test of Chang(2002).

Value

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

Author(s)

Ho Tsung-wu <[e-mail]>, College of Management, National Taiwan Normal University.

References

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

Examples

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

pdR documentation built on Sept. 11, 2024, 9:08 p.m.