pIGF: Panel unit root test of Chang(2002)

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

Panel unit root test of Chang(2002)

Description

Compute the panel unit root test statistic of Chang(2002).

Usage

pIGF(datamat, maxp, ic, spec)

Arguments

datamat	T by N panel data.T is the time length,N is the number of cross-section units.
maxp	the max number of lags
ic	Information criteria, either "AIC" or "BIC".
spec	model specification. =0, no intercept and trend. =1, intercept only. =2, intercept and trend.

Details

This function estimates the panel unit root test based on univariate instrument generating function of (Chang,2002).

Value

panel.tstat	panel IGF test statistics
pvalue	P-value of the panel.tstat

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)
datam <- inf19
pIGF(datam,maxp=25,ic="BIC",spec=2)

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