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

Description Usage Arguments Details Value Author(s) References See Also Examples

Description

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

Usage

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

Arguments

x

an object of class "pseries",

lags

lag order for Dickey-Fuller augmentation,

type

one of "trend", "drift", "none",

model

one of "cmg", "mg", "dmg",

truncated

logical specifying whether to calculate the truncated version of the test,

...

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

Details

This cross-sectionally augmented version of the IPS unit root test (H0: the 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 type="cmg" is calculated. Else one can obtain the standard (model="mg") or cross-sectionally demeaned (model="dmg") versions of the IPS test.

Value

An object of class "htest".

Author(s)

Giovanni Millo

References

\insertRef

pes07plm

See Also

purtest()

Examples

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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 3, 2021, 1:12 a.m.