cipstest: Cross-sectionally Augmented IPS Test for Unit Roots in Panel...

cipstestR Documentation

Cross-sectionally Augmented IPS Test for Unit Roots in Panel Models

Description

Cross-sectionally augmented Im, Pesaran and Shin (IPS) test for unit roots in panel models.

Usage

cipstest(
  x,
  lags = 2,
  type = c("trend", "drift", "none"),
  model = c("cmg", "mg", "dmg"),
  truncated = FALSE,
  ...
)

Arguments

x

an object of class "pseries",

lags

integer, lag order for Dickey-Fuller augmentation,

type

one of "trend" (default), "drift", "none",

model

one of "cmg" (default), "mg", "dmg",

truncated

logical, specifying whether to calculate the truncated version of the test (default: FALSE),

...

further arguments passed to critvals.cips (non-exported function).

Details

Pesaran's \insertCitepes07plm cross-sectionally augmented version of the IPS unit root test \insertCiteIM:PESAR:SHIN:03plm (H0: pseries has a unit root) is a so-called second-generation panel unit root test: it is in fact robust against cross-sectional dependence, provided that the default model="cmg" is calculated. Else one can obtain the standard (model="mg") or cross-sectionally demeaned (model="dmg") versions of the IPS test.

Argument type controls how the test is executed:

  • "none": no intercept, no trend (Case I in \insertCitepes07plm),

  • "drift": with intercept, no trend (Case II),

  • "trend" (default): with intercept, with trend (Case III).

Value

An object of class "htest".

Author(s)

Giovanni Millo

References

\insertAllCited

See Also

purtest(), phansitest()

Examples


data("Produc", package = "plm")
Produc <- pdata.frame(Produc, index=c("state", "year"))
## check whether the gross state product (gsp) is trend-stationary
cipstest(Produc$gsp, type = "trend")


plm documentation built on March 18, 2022, 6:15 p.m.