ipsHEGY: IPS-HEGY seasonal unit root test in panel data, Otero et...

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

IPS-HEGY seasonal unit root test in panel data, Otero et al.(2007).

Description

This function performs panel data-based HEGY seasonal unit root test, the asymptotics is based upon Otero et al.(2007).

Usage

ipsHEGY(data, itsd, Sel, pmax, CIPS = TRUE)

Arguments

data	Panel data, T by N
itsd	Options for c(i,t,sd). i=1, intercept;=0 no intercept. t=1, trend;=0 no deterministic trend. sd=1, season dummy 1:(s-1);=0 no.
Sel	Selection of lags, having three options: "signf","bic","aic".
pmax	Maximum number of lags for searching optimal criteria.
CIPS	Logical. If TRUE, using Pesaran(2007) to account for cross-section correlation. The default is TRUE.

Details

Mode for selectlags has three options, AIC and BIC use R built-in functions for linear model and their meanings are popular and straightforward. "signf" includes only statistically significant lags, and statistically insignificant lags are dropped from regressors. That is, once you select this option, lags of your model may not be continuous.
The critical values for panel HEGY are standard normal for individual t-ratios, however,you need to perform simulation for the critical values of F joint test, at pdR 1.3. To this end, you are encouraged to work this out for yourself: using arima.sim() to sample seasonal time series with unit root (1-order difference) and obtain their statistics under the null using ipsHEGY(), then it is streightforward to obtain critical values.
Otero et al. (2007) provide critical values for quarterly frequency.

Value

P_HEGY	Panel HEGY statistics.
U_HEGY	Idividual HEGY statistics of N units.

Author(s)

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

References

Otero, J., Smith, J., and Giulietti, M. (2005) Testing for seasonal unit roots in heterogeneous panels. Economics Letters, 86, 229-235.
Otero, J., Smith, J., and Giulietti, M. (2007) Testing for seasonal unit roots in heterogeneous panels in the presence of cross section dependence. Economics Letters, 86, 179-184.
Pesaran M. Hashem (2007) A simple panel unit root test in the presence of cross-section dependence. Journal of Applied Econometrics, 22, 265-312.

Examples

data(inf_Q)
dataz<-inf_Q
itsd<-c(1,0,c(1:3))
#Seasonal dummy only takes quarters 1:3, 
#becasue of the presence of common intercept.
Sel<-"bic" # "aic","bic", "signf".
pmax<-12

OUT<-ipsHEGY(dataz,itsd,Sel,pmax,CIPS=FALSE)
OUT$P_HEGY
OUT$U_HEGY

# Simulation of critical values

pdR documentation built on Aug. 21, 2023, 5:06 p.m.