R/test_uroot.R

Defines functions print.phansitest phansi phansitest print.summary.purtest summary.purtest print.purtest purtest hadritest longrunvar tsadf critval.ips.tbar.value adj.ips.ztbar.value adj.ips.wtbar.value adj.levinlin.value lagsel selectT YCdiff YClags padf

Documented in phansitest print.phansitest print.purtest print.summary.purtest purtest summary.purtest

padf <- function(x, exo = c("none", "intercept", "trend"), p.approx = NULL, ...){
 # p-value approximation for tau distribution of (augmented) Dickey-Fuller test
 # as used in some panel unit root tests in purtest().
 #
 # argument 'x' must be a numeric (can be length == 1 or >= 1)
 #  
 # p-values approximation is performed by the method of MacKinnon (1994) or
 # MacKinnon (1996), the latter yielding better approximated p-values but
 # requires package 'urca'.
 # Default is NULL: check for availability of 'urca' and, if available, perform
 # MacKinnon (1996); fall back to MacKinnon (1994) if 'urca' is not available.
 # User can demand a specific method by setting the argument 'p.approx' to either
 # "MacKinnon1994" or "MacKinnon1996".

  exo <- match.arg(exo)
  
  # check if ellipsis (dots) has p.approx (could be passed from purtest()'s dots)
  # and if so, use p.approx from ellipsis
  dots <- list(...)
  if (!is.null(dots$p.approx)) p.approx <- dots$p.approx
  
  if (!is.null(p.approx) && !p.approx %in% c("MacKinnon1994", "MacKinnon1996"))
    stop(paste0("unknown argument value: p.approx = \"", p.approx, "\""))
  
  # Check if package 'urca' is available on local machine. We placed 'urca' 
  # in 'Suggests' rather than 'Imports' so that it is not an absolutely 
  # required dependency.)
  ## Procedure for pkg check for pkg in 'Suggests' as recommended in 
  ## Wickham, R packages (http://r-pkgs.had.co.nz/description.html).
  urca <- if(!requireNamespace("urca", quietly = TRUE)) FALSE else TRUE
  
  # default: if no p.approx specified by input (NULL),
  # use MacKinnon (1996) if 'urca' is available, else MacKinnon (1994)
  p.approx <- if(is.null(p.approx)) { if(urca)  "MacKinnon1996" else "MacKinnon1994" } else p.approx
  
  if (!is.null(p.approx) && p.approx == "MacKinnon1996" && !urca) {
    # catch case when user demands MacKinnon (1996) per argument but 'urca' is unavailable
    warning("method MacKinnon (1996) requested via argument 'p.approx' but requires non-installed package 'urca'; falling back to MacKinnon (1994)")
    p.approx <- "MacKinnon1994"
  }
  
  if(p.approx == "MacKinnon1996") {
    # translate exo argument to what urca::punitroot expects
    punitroot.exo <- switch (exo,
                             "none"      = "nc",
                             "intercept" = "c",
                             "trend"     = "ct")

    res <- urca::punitroot(x, N = Inf, trend = punitroot.exo) # return asymptotic value
  }
  
  if(p.approx == "MacKinnon1994") {
    # values from MacKinnon (1994), table 3, 4
    small <- matrix(c(0.6344, 1.2378, 3.2496,
                      2.1659, 1.4412, 3.8269,
                      3.2512, 1.6047, 4.9588),
                    nrow = 3, byrow = TRUE)
    small <- t(t(small) / c(1, 1, 100))
    large <- matrix(c(0.4797, 9.3557, -0.6999,  3.3066,
                      1.7339, 9.3202, -1.2745, -1.0368,
                      2.5261, 6.1654, -3.7956, -6.0285),
                    nrow = 3, byrow = TRUE)
    large <- t(t(large) / c(1, 10, 10, 100))
    limit <- c(-1.04, -1.61, -2.89)
    rownames(small) <- rownames(large) <- names(limit) <- c("none", "intercept", "trend")

    c.x.x2 <- rbind(1, x, x ^ 2)
    psmall <- colSums(small[exo, ] * c.x.x2)
    plarge <- colSums(large[exo, ] * rbind(c.x.x2, x ^ 3))
    
    res <- as.numeric(pnorm(psmall * (x <= limit[exo]) + plarge * (x > limit[exo])))
  }
  attr(res, "p.approx") <- p.approx
  return(res)
} ## END padf


## IPS (2003), table 3 for Wtbar statistic
# x1: means without time trend from table 3 in IPS (2003)
adj.ips.wtbar.x1 <- c(
  -1.504,-1.514,-1.522,-1.520,-1.526,-1.523,-1.527,-1.519,-1.524,-1.532,
  -1.488,-1.503,-1.516,-1.514,-1.519,-1.520,-1.524,-1.519,-1.522,-1.530,
  -1.319,-1.387,-1.428,-1.443,-1.460,-1.476,-1.493,-1.490,-1.498,-1.514,
  -1.306,-1.366,-1.413,-1.433,-1.453,-1.471,-1.489,-1.486,-1.495,-1.512,
  -1.171,-1.260,-1.329,-1.363,-1.394,-1.428,-1.454,-1.458,-1.470,-1.495,
      NA,    NA,-1.313,-1.351,-1.384,-1.421,-1.451,-1.454,-1.467,-1.494,
      NA,    NA,    NA,-1.289,-1.331,-1.380,-1.418,-1.427,-1.444,-1.476,
      NA,    NA,    NA,-1.273,-1.319,-1.371,-1.411,-1.423,-1.441,-1.474,
      NA,    NA,    NA,-1.212,-1.266,-1.329,-1.377,-1.393,-1.415,-1.456
)
# x2: variances without time trend from table 3 in IPS (2003)
adj.ips.wtbar.x2 <- c(
  1.069,0.923,0.851,0.809,0.789,0.770,0.760,0.749,0.736,0.735,
  1.255,1.011,0.915,0.861,0.831,0.803,0.781,0.770,0.753,0.745,
  1.421,1.078,0.969,0.905,0.865,0.830,0.798,0.789,0.766,0.754,
  1.759,1.181,1.037,0.952,0.907,0.858,0.819,0.802,0.782,0.761,
  2.080,1.279,1.097,1.005,0.946,0.886,0.842,0.819,0.801,0.771,
     NA,   NA,1.171,1.055,0.980,0.912,0.863,0.839,0.814,0.781,
     NA,   NA,   NA,1.114,1.023,0.942,0.886,0.858,0.834,0.795,
     NA,   NA,   NA,1.164,1.062,0.968,0.910,0.875,0.851,0.806,
     NA,   NA,   NA,1.217,1.105,0.996,0.929,0.896,0.871,0.818
)

# x3: means with time trend from table 3 in IPS (2003)
adj.ips.wtbar.x3 <- c(
  -2.166,-2.167,-2.168,-2.167,-2.172,-2.173,-2.176,-2.174,-2.174,-2.177,
  -2.173,-2.169,-2.172,-2.172,-2.173,-2.177,-2.180,-2.178,-2.176,-2.179,
  -1.914,-1.999,-2.047,-2.074,-2.095,-2.120,-2.137,-2.143,-2.146,-2.158,
  -1.922,-1.977,-2.032,-2.065,-2.091,-2.117,-2.137,-2.142,-2.146,-2.158,
  -1.750,-1.823,-1.911,-1.968,-2.009,-2.057,-2.091,-2.103,-2.114,-2.135,
      NA,    NA,-1.888,-1.955,-1.998,-2.051,-2.087,-2.101,-2.111,-2.135,
      NA,    NA,    NA,-1.868,-1.923,-1.995,-2.042,-2.065,-2.081,-2.113,
      NA,    NA,    NA,-1.851,-1.912,-1.986,-2.036,-2.063,-2.079,-2.112,
      NA,    NA,    NA,-1.761,-1.835,-1.925,-1.987,-2.024,-2.046,-2.088
)

# x4: variances with time trend from table 3 in IPS (2003)
adj.ips.wtbar.x4 <- c(
  1.132,0.869,0.763,0.713,0.690,0.655,0.633,0.621,0.610,0.597,
  1.453,0.975,0.845,0.769,0.734,0.687,0.654,0.641,0.627,0.605,
  1.627,1.036,0.882,0.796,0.756,0.702,0.661,0.653,0.634,0.613,
  2.482,1.214,0.983,0.861,0.808,0.735,0.688,0.674,0.650,0.625,
  3.947,1.332,1.052,0.913,0.845,0.759,0.705,0.685,0.662,0.629,
     NA,   NA,1.165,0.991,0.899,0.792,0.730,0.705,0.673,0.638,
     NA,   NA,   NA,1.055,0.945,0.828,0.753,0.725,0.689,0.650,
     NA,   NA,   NA,1.145,1.009,0.872,0.786,0.747,0.713,0.661,
     NA,   NA,   NA,1.208,1.063,0.902,0.808,0.766,0.728,0.670
)

adj.ips.wtbar <- c(adj.ips.wtbar.x1, adj.ips.wtbar.x2,
                   adj.ips.wtbar.x3, adj.ips.wtbar.x4)

adj.ips.wtbar <- array(adj.ips.wtbar, dim = c(10, 9, 2, 2),
                       dimnames = list(
                         c(10, 15, 20, 25, 30, 40, 50, 60, 70, 100),
                         0:8,
                         c("mean", "var"),
                         c("intercept", "trend"))
)

adj.ips.wtbar <- aperm(adj.ips.wtbar, c(2, 1, 3, 4))



###############
## IPS (2003), table 2 (obvious typos (missing minus signs) corrected)

# intercept 1% critical values
critval.ips.tbar.int1 <- c(
  -3.79, -2.66, -2.54, -2.50, -2.46, -2.44, -2.43, -2.42, -2.42, -2.40, -2.40,
  -3.45, -2.47, -2.38, -2.33, -2.32, -2.31, -2.29, -2.28, -2.28, -2.28, -2.27,
  -3.06, -2.32, -2.24, -2.21, -2.19, -2.18, -2.16, -2.16, -2.16, -2.16, -2.15,
  -2.79, -2.14, -2.10, -2.08, -2.07, -2.05, -2.04, -2.05, -2.04, -2.04, -2.04,
  -2.61, -2.06, -2.02, -2.00, -1.99, -1.99, -1.98, -1.98, -1.98, -1.97, -1.97,
  -2.51, -2.01, -1.97, -1.95, -1.94, -1.94, -1.93, -1.93, -1.93, -1.93, -1.92,
  -2.20, -1.85, -1.83, -1.82, -1.82, -1.82, -1.81, -1.81, -1.81, -1.81, -1.81,
  -2.00, -1.75, -1.74, -1.73, -1.73, -1.73, -1.73, -1.73, -1.73, -1.73, -1.73)
# intercept 5% critical values
critval.ips.tbar.int5 <- c(
  -2.76, -2.28, -2.21, -2.19, -2.18, -2.16, -2.16, -2.15, -2.16, -2.15,-2.15,
  -2.57, -2.17, -2.11, -2.09, -2.08, -2.07, -2.07, -2.06, -2.06, -2.06,-2.05,
  -2.42, -2.06, -2.02, -1.99, -1.99, -1.99, -1.98, -1.98, -1.97, -1.98,-1.97,
  -2.28, -1.95, -1.92, -1.91, -1.90, -1.90, -1.90, -1.89, -1.89, -1.89,-1.89,
  -2.18, -1.89, -1.87, -1.86, -1.85, -1.85, -1.85, -1.85, -1.84, -1.84,-1.84,
  -2.11, -1.85, -1.83, -1.82, -1.82, -1.82, -1.81, -1.81, -1.81, -1.81,-1.81,
  -1.95, -1.75, -1.74, -1.73, -1.73, -1.73, -1.73, -1.73, -1.73, -1.73,-1.73,
  -1.84, -1.68, -1.67, -1.67, -1.67, -1.67, -1.67, -1.67, -1.67, -1.67,-1.67)
# intercept 10% critical values	
critval.ips.tbar.int10 <- c(
  -2.38, -2.10, -2.06, -2.04, -2.04, -2.02, -2.02, -2.02, -2.02, -2.02, -2.01,
  -2.27, -2.01, -1.98, -1.96, -1.95, -1.95, -1.95, -1.95, -1.94, -1.95, -1.94,
  -2.17, -1.93, -1.90, -1.89, -1.88, -1.88, -1.88, -1.88, -1.88, -1.88, -1.88,
  -2.06, -1.85, -1.83, -1.82, -1.82, -1.82, -1.81, -1.81, -1.81, -1.81, -1.81,
  -2.00, -1.80, -1.79, -1.78, -1.78, -1.78, -1.78, -1.78, -1.78, -1.77, -1.77,
  -1.96, -1.77, -1.76, -1.75, -1.75, -1.75, -1.75, -1.75, -1.75, -1.75, -1.75,
  -1.85, -1.70, -1.69, -1.69, -1.69, -1.69, -1.68, -1.68, -1.68, -1.68, -1.69,
  -1.77, -1.64, -1.64, -1.64, -1.64, -1.64, -1.64, -1.64, -1.64, -1.64, -1.64)
# trend 1% critical values
critval.ips.tbar.trend1 <- c(
  -8.12, -3.42, -3.21, -3.13, -3.09, -3.05, -3.03, -3.02, -3.00, -3.00, -2.99,
  -7.36, -3.20, -3.03, -2.97, -2.94, -2.93, -2.90, -2.88, -2.88, -2.87, -2.86,
  -6.44, -3.03, -2.88, -2.84, -2.82, -2.79, -2.78, -2.77, -2.76, -2.75, -2.75,
  -5.72, -2.86, -2.74, -2.71, -2.69, -2.68, -2.67, -2.65, -2.66, -2.65, -2.64,
  -5.54, -2.75, -2.67, -2.63, -2.62, -2.61, -2.59, -2.60, -2.59, -2.58, -2.58,
  -5.16, -2.69, -2.61, -2.58, -2.58, -2.56, -2.55, -2.55, -2.55, -2.54, -2.54,
  -4.50, -2.53, -2.48, -2.46, -2.45, -2.45, -2.44, -2.44, -2.44, -2.44, -2.43,
  -4.00, -2.42, -2.39, -2.38, -2.37, -2.37, -2.36, -2.36, -2.36, -2.36, -2.36)
# trend 5% critical values
critval.ips.tbar.trend5 <- c(
  -4.66, -2.98, -2.87, -2.82, -2.80, -2.79, -2.77, -2.76, -2.75, -2.75, -2.75,
  -4.38, -2.85, -2.76, -2.72, -2.70, -2.69, -2.68, -2.67, -2.67, -2.66, -2.66,
  -4.11, -2.74, -2.66, -2.63, -2.62, -2.60, -2.60, -2.59, -2.59, -2.58, -2.58,
  -3.88, -2.63, -2.57, -2.55, -2.53, -2.53, -2.52, -2.52, -2.52, -2.51, -2.51,
  -3.73, -2.56, -2.52, -2.49, -2.48, -2.48, -2.48, -2.47, -2.47, -2.46, -2.46,
  -3.62, -2.52, -2.48, -2.46, -2.45, -2.45, -2.44, -2.44, -2.44, -2.44, -2.43,
  -3.35, -2.42, -2.38, -2.38, -2.37, -2.37, -2.36, -2.36, -2.36, -2.36, -2.36,
  -3.13, -2.34, -2.32, -2.32, -2.31, -2.31, -2.31, -2.31, -2.31, -2.31, -2.31)
# trend 10% critical values
critval.ips.tbar.trend10 <- c(
  -3.73, -2.77, -2.70, -2.67, -2.65, -2.64, -2.63, -2.62, -2.63, -2.62, -2.62,
  -3.60, -2.68, -2.62, -2.59, -2.58, -2.57, -2.57, -2.56, -2.56, -2.55, -2.55,
  -3.45, -2.59, -2.54, -2.52, -2.51, -2.51, -2.50, -2.50, -2.50, -2.49, -2.49,
  -3.33, -2.52, -2.47, -2.46, -2.45, -2.45, -2.44, -2.44, -2.44, -2.44, -2.44,
  -3.26, -2.47, -2.44, -2.42, -2.41, -2.41, -2.41, -2.40, -2.40, -2.40, -2.40,
  -3.18, -2.44, -2.40, -2.39, -2.39, -2.38, -2.38, -2.38, -2.38, -2.38, -2.38,
  -3.02, -2.36, -2.33, -2.33, -2.33, -2.32, -2.32, -2.32, -2.32, -2.32, -2.32,
  -2.90, -2.30, -2.29, -2.28, -2.28, -2.28, -2.28, -2.28, -2.28, -2.28, -2.28)

critval.ips.tbar <- c(critval.ips.tbar.int1,
                      critval.ips.tbar.int5,
                      critval.ips.tbar.int10,
                      critval.ips.tbar.trend1,
                      critval.ips.tbar.trend5,
                      critval.ips.tbar.trend10)

critval.ips.tbar <- array(critval.ips.tbar, dim = c(11, 8, 3, 2),
                          dimnames = list(
                            c(5, 10, 15, 20, 25, 30, 40, 50, 60, 70, 100),
                            c(5, 7, 10, 15, 20, 25, 50, 100),
                            c("1%", "5%", "10%"),
                            c("intercept", "trend"))
)

critval.ips.tbar <- aperm(critval.ips.tbar, c(2, 1, 3, 4))


###############

## IPS (2003), table 1
# right hand pane of table 1 for Ztbar statistic
adj.ips.zbar.time  <- c(6, 7, 8, 9, 10, 15, 20, 25, 30, 40, 50, 100, 500, 1000, 2000)
adj.ips.zbar.means <- c(-1.520, -1.514, -1.501, -1.501, -1.504, -1.514, -1.522, -1.520, -1.526, -1.523, -1.527, -1.532, -1.531, -1.529, -1.533)
adj.ips.zbar.vars  <- c(1.745, 1.414, 1.228, 1.132, 1.069, 0.923, 0.851, 0.809, 0.789, 0.770, 0.760, 0.735, 0.715, 0.707, 0.706) 
names(adj.ips.zbar.time) <- names(adj.ips.zbar.means) <- names(adj.ips.zbar.vars) <- adj.ips.zbar.time

# left pane of table 1 [not used]
adj.ips.zbarL.means <- c(-1.125, -1.178, -1.214, -1.244, -1.274, -1.349, -1.395, -1.423, -1.439, -1.463, -1.477, -1.504, -1.526, -1.526, -1.533)
adj.ips.zbarL.vars  <- c(0.497, 0.506, 0.506, 0.527, 0.521, 0.565, 0.592, 0.609, 0.623, 0.639, 0.656, 0.683, 0.704, 0.702, 0.706)

################

# table 2 in LLC (2002): mean and standard deviation adjustments
Tn <- c(  25,  30,  35,  40,  45,  50,  60,   70,   80,   90,  100,  250,   500)

v <- c(c( 0.004,  0.003,  0.002,  0.002,  0.001,  0.001,  0.001,  0.000,  0.000,  0.000,  0.000,  0.000,  0.000),
       c( 1.049,  1.035,  1.027,  1.021,  1.017,  1.014,  1.011,  1.008,  1.007,  1.006,  1.005,  1.001,  1.000),
       c(-0.554, -0.546, -0.541, -0.537, -0.533, -0.531, -0.527, -0.524, -0.521, -0.520, -0.518, -0.509, -0.500),
       c( 0.919,  0.889,  0.867,  0.850,  0.837,  0.826,  0.810,  0.798,  0.789,  0.782,  0.776,  0.742,  0.707),
       c(-0.703, -0.674, -0.653, -0.637, -0.624, -0.614, -0.598, -0.587, -0.578, -0.571, -0.566, -0.533, -0.500),
       c( 1.003,  0.949,  0.906,  0.871,  0.842,  0.818,  0.780,  0.751,  0.728,  0.710,  0.695,  0.603,  0.500)
)

adj.levinlin <- array(v, dim = c(13, 2, 3),
                      dimnames = list(Tn,
                                      c("mu", "sigma"),
                                      c("none", "intercept", "trend")))

purtest.names.exo <- c(none      = "None",
                       intercept = "Individual Intercepts",
                       trend     = "Individual Intercepts and Trend")

purtest.names.test <- c(levinlin  = "Levin-Lin-Chu Unit-Root Test",
                        ips       = "Im-Pesaran-Shin Unit-Root Test",
                        madwu     = "Maddala-Wu Unit-Root Test",
                        Pm        = "Choi's modified P Unit-Root Test",
                        invnormal = "Choi's Inverse Normal Unit-Root Test",
                        logit     = "Choi's Logit Unit-Root Test",
                        hadri     = "Hadri Test")


## General functions to transform series:

YClags <- function(object,  k = 3){
  n <- length(object)
  if(k > n) stop("lag value larger than length of series to lag")
  if(k > 0) {
    res <- sapply(seq_len(k), function(x) c(rep(NA, x), object[seq_len(n - x)]))
    if(is.null(dim(res))) res <- as.matrix(res) # guarantee to return a matrix
  } else res <-  NULL
  res
}

YCdiff <- function(object) {
  # NB/TODO: no sanity check here: for input of length(object) == 1, a result of 
  # length 3 is returned: c(NA, NA, 0)
  c(NA, object[seq_along(object)[-1L]] - object[seq_len(length(object)-1)])
}

selectT <- function(x, Ts){
  ## This function selects the length of the series as it is tabulated
  if (x %in% Ts) return(x)
  if (x < Ts[1L]){
    warning("the time series is short")
    return(Ts[1L])
  }
  if (x > Ts[length(Ts)]){
    warning("the time series is long")
    return(Ts[length(Ts)])
  }
  pos <- which((Ts - x) > 0)[1L]
  return(Ts[c(pos - 1, pos)])
}

lagsel <- function(object, exo = c("intercept", "none", "trend"),
                   method = c("Hall", "AIC", "SIC"), pmax = 10, 
                   dfcor = FALSE, fixedT = TRUE, ...){
  # select the optimal number of lags using Hall method, AIC, or SIC
  method <- match.arg(method)
  y <- object
  Dy <- YCdiff(object)
  Ly <- c(NA, object[seq_len(length(object)-1)])
  if (exo == "none")      m <- NULL
  if (exo == "intercept") m <- rep(1, length(object))
  if (exo == "trend")     m <- cbind(1, seq_along(object))
  LDy <- YClags(Dy, k = pmax)
  
  decreasei <- TRUE
  i <- 0L
  narow <- seq_len(pmax+1)
  if (method == "Hall"){
    while(decreasei){
      lags <- pmax - i
      if (!fixedT) narow <- seq_len(lags + 1L)
      X <- cbind(Ly, LDy[ , 0:lags], m)[-narow, , drop = FALSE]
      y <- Dy[-narow]
      sres <- my.lm.fit(X, y, dfcor = dfcor)
      tml <- sres$coef[lags + 1L]/sres$se[lags + 1L]
      if (abs(tml) < 1.96 && lags > 0L)
        i <- i + 1L
      else
        decreasei <- FALSE
    }
  }
  else{
    l <- c()
    while(i <= pmax){
      lags <- pmax - i
      if (!fixedT) narow <- seq_len(lags + 1L)
      X <- cbind(Ly, LDy[ , 0:lags], m)[-narow, , drop = FALSE]
      y <- Dy[-narow]
      sres <- my.lm.fit(X, y, dfcor = dfcor)
      AIC <- if (method == "AIC") {
        log(sres$rss / sres$n) + 2 * sres$K / sres$n # AIC
      } else {
        log(sres$rss / sres$n) + sres$K * log(sres$n) / sres$n # SIC
      }
      l <- c(l, AIC)
      i <- i + 1L
    }
    lags <- pmax + 1 - which.min(l)
  }
  lags
} ## END lagsel


adj.levinlin.value <- function(l, exo = c("intercept", "none", "trend")){
  ## extract the adjustment values for Levin-Lin-Chu test
  theTs <- as.numeric(dimnames(adj.levinlin)[[1L]])
  Ts <- selectT(l, theTs)
  res <- if (length(Ts) == 1L) {
    adj.levinlin[as.character(Ts), , exo]
  } else{
    low  <- adj.levinlin[as.character(Ts[1L]), , exo]
    high <- adj.levinlin[as.character(Ts[2L]), , exo]
    low + (l - Ts[1L]) / (Ts[2L] - Ts[1L]) * (high - low)
  }
  res
} ## END adj.levinlin.value

adj.ips.wtbar.value <- function(l = 30, lags = 2, exo = c("intercept", "trend")){
  ## extract the adjustment values for Im-Pesaran-Shin test for Wtbar statistic (table 3 in IPS (2003))
  if (!lags %in% 0:8) warning("lags should be an integer between 0 and 8")
  lags <- min(lags, 8)
  theTs <- as.numeric(dimnames(adj.ips.wtbar)[[2L]])
  Ts <- selectT(l, theTs)
  res <- if (length(Ts) == 1L) {
    # take value as in table
    adj.ips.wtbar[as.character(lags), as.character(Ts), , exo]
  }
  else{
    # interpolate value from table
    lags.char <- as.character(lags)
    low  <- adj.ips.wtbar[lags.char, as.character(Ts[1L]), , exo]
    high <- adj.ips.wtbar[lags.char, as.character(Ts[2L]), , exo]
    low + (l - Ts[1L]) / (Ts[2L] - Ts[1L]) * (high - low)
  }
  res
} ## END adj.ips.wtbar.value

adj.ips.ztbar.value <- function(l = 30L, time, means, vars){
  ## extract the adjustment values for Im-Pesaran-Shin test's Ztbar statistic
  ## from table 1, right hand pane in IPS (2003) fed by arguments means and vars
  Ts <- selectT(l, time)
  res <- if (length(Ts) == 1L){
    # take value as in table
    c("mean" = means[as.character(Ts)], "var" = vars[as.character(Ts)])
  }
  else{
    # interpolate value from table
    low  <- c("mean" = means[as.character(Ts[1L])], "var" = vars[as.character(Ts[1L])])
    high <- c("mean" = means[as.character(Ts[2L])], "var" = vars[as.character(Ts[2L])])
    low + (l - Ts[1L])/(Ts[2L] - Ts[1L]) * (high - low)
  }
  res
} ## END adj.ips.ztbar.value

critval.ips.tbar.value <- function(ind = 10L, time = 19L, critvals, exo = c("intercept", "trend")){
  ## extract and interpolate 1%, 5%, 10% critical values for Im-Pesaran-Shin test's
  ## tbar statistic (table 2 in IPS (2003))
  ##
  ## Interpolation is based on inverse distance weighting (IDW) of
  ## L1 distance (1d case) and L2 distance (euclidean distance) (2d case)
  ## (optical inspections shows this method is a good approximation)
  
  theInds <- as.numeric(dimnames(critvals)[[1L]])
  theTs <- as.numeric(dimnames(critvals)[[2L]])
  Inds <- selectT(ind, theInds)
  Ts <- selectT(time, theTs)
  
  exo <- match.arg(exo)
  
  ## check cases and early exit:
  if(length(Inds) == 1L && length(Ts) == 1L) {
    # exact hit for individual AND time: take value as in table
    return(critvals[as.character(Inds), as.character(Ts), , exo])
  }
  else{
    if(length(Inds) == 1L || length(Ts) == 1L) {
      # exact hit for individual (X)OR time: interpolate other dimension
      if(length(Inds) == 1L) {
        low  <- critvals[as.character(Inds), as.character(Ts[1L]), , exo]
        high <- critvals[as.character(Inds), as.character(Ts[2L]), , exo]
        # L1 distances and inverse weighting for time dimension
        dist1 <- abs(time - Ts[1L])
        dist2 <- abs(time - Ts[2L])
        weight1 <- 1/dist1
        weight2 <- 1/dist2
        return ((weight1 * low + weight2 * high ) / (weight1 + weight2))
      }
      if(length(Ts) == 1L) {
        # L1 distances and inverse weighting for individual dimension
        low  <- critvals[as.character(Inds[1L]), as.character(Ts), , exo]
        high <- critvals[as.character(Inds[2L]), as.character(Ts), , exo]
        dist1 <- abs(ind - Inds[1L])
        dist2 <- abs(ind - Inds[2L])
        weight1 <- 1/dist1
        weight2 <- 1/dist2
        return ((weight1 * low + weight2 * high ) / (weight1 + weight2))
      }
    } else {
      # only get to this part when both dimensions are not an exact hit:
      # 2d interpolate
      
      # extract the 4 critical values as basis of interpolation interpolate ("corners of box")
      crit4 <- critvals[as.character(Inds), as.character(Ts), , exo]
      dot <- c(ind, time) # point of interest
      m <- as.matrix(expand.grid(Inds, Ts))
      colnames(m) <- c("ind", "time")
      dist <- lapply(1:4, function(x) m[x, ] - dot)
      dist <- vapply(dist, function(x) sqrt(as.numeric(crossprod(x))), 0.0, USE.NAMES = FALSE)
      weight <- 1/dist
      
      res <- (
          crit4[as.character(Inds[1L]), as.character(Ts[1L]), ] * weight[1L] +
          crit4[as.character(Inds[2L]), as.character(Ts[1L]), ] * weight[2L] +
          crit4[as.character(Inds[1L]), as.character(Ts[2L]), ] * weight[3L] +
          crit4[as.character(Inds[2L]), as.character(Ts[2L]), ] * weight[4L]) / sum(weight)
      return(res)
    }
  }
} ## END critval.ips.tbar.value

tsadf <- function(object, exo = c("intercept", "none", "trend"),
                  lags = NULL, dfcor = FALSE, comp.aux.reg = FALSE, ...){
  # compute some ADF regressions for each time series
  y <- object
  L <- length(y)
  Dy <- YCdiff(object)
  Ly <- c(NA, object[seq_len(length(object)-1)])
  if(exo == "none")      m <- NULL
  if(exo == "intercept") m <- rep(1, length(object))
  if(exo == "trend")     m <- cbind(1, seq_along(object))
  narow <- seq_len(lags+1)
  LDy <- YClags(Dy, k = lags)
  X <- cbind(Ly, LDy, m)[-narow, , drop = FALSE]
  if(dim(X)[[1]] == 0L) stop("after lagging, no non-NA case left in a series")
  y <- Dy[- narow]
  result <- my.lm.fit(X, y, dfcor = dfcor)
  sigma <- result$sigma
  rho <- result$coef[1L]
  sdrho <- result$se[1L]
  trho <- rho/sdrho
  p.trho <- padf(trho, exo = exo, ...)
  result <- list(rho    = rho,
                 sdrho  = sdrho,
                 trho   = trho,
                 sigma  = sigma,
                 T      = L,
                 lags   = lags,
                 p.trho = p.trho)
  
  if(comp.aux.reg){
    # for Levin-Lin-Chu test only, compute the residuals of the auxiliary
    # regressions
    X <- cbind(LDy[ , 0:lags], m)[-narow, , drop = FALSE]
    if(lags == 0 && exo == "none"){
      resid.diff  <- Dy[-narow]/sigma
      resid.level <- Ly[-narow]/sigma
    }
    else{
      y <- Dy[-narow]
      resid.diff <- lm.fit(X, y)$residuals/sigma
      y <- Ly[-narow]
      resid.level <- lm.fit(X, y)$residuals/sigma
    }
    result$resid <- data.frame(resid.diff  = resid.diff,
                               resid.level = resid.level)
  }
  result
}


longrunvar <- function(x, exo = c("intercept", "none", "trend"), q = NULL){
  # compute the long run variance of the dependent variable
  
  # q: lag truncation parameter: default (q == NULL) as in LLC, p. 14
  # it can be seen from LLC, table 2, that round() was used to get an
  # integer from that formula (not, e.g., trunc)
  T <- length(x)
  if (is.null(q)) q <- round(3.21 * T^(1/3))
  dx <- x[2:T] - x[seq_len(T-1)]
  if(exo == "intercept") dx <- dx - mean(dx)
  if(exo == "trend")     dx <- lm.fit(cbind(1, seq_along(dx)), dx)$residuals
  dx <- c(NA, dx)
  res <- 1/(T-1)*sum(dx[-1]^2)+
    2*sum(
      sapply(seq_len(q),
             function(L){
               sum(dx[2:(T-L)] * dx[(L+2):T]) / (T-1) *
                 (1 - L / (q+1))
             }
      )
    )
  return(res)
}


hadritest <- function(object, exo, Hcons, dfcor, method,
                      cl, args, data.name, ...) {
  ## used by purtest(<.>, test = "hadri"); non-exported function
  ## Hadri's test is applicable to balanced data only
  ## input 'object' is a list with observations per individual
  if(!is.list(object)) stop("argument 'object' in hadritest is supposed to be a list")
  if(exo == "none") stop("exo = \"none\" (\"~0\" in the formula interface) is not a valid option for Hadri's test")
  # determine L (= time periods), unique for balanced panel and number of individuals (n)
  if(length(L <- unique(lengths(object, use.names = FALSE))) > 1L)
    stop("Hadri test is not applicable to unbalanced panels")
  n <- length(object)
  
  if(exo == "intercept"){
    # can use lm.fit here as NAs are dropped in beginning of 'purtest'
    resid <- lapply(object, function(x) lm.fit(matrix(1, nrow = length(x)), x)$residuals)
    adj <- c(1/6, 1/45) # xi, zeta^2 in eq. (17) in Hadri (2000)
  }
  if (exo == "trend"){
    resid <- lapply(object, function(x) {
                              lx <- length(x)
                              dmat <- matrix(c(rep(1, lx), seq_len(lx)), nrow = lx)
                              # can use lm.fit here as NAs are dropped in beginning of 'purtest'
                              lm.fit(dmat, x)$residuals
                              })
    adj <- c(1/15, 11/6300) # xi, zeta^2 in eq. (25) in Hadri (2000)
  }

  cumres2 <- lapply(resid, function(x) cumsum(x)^2)
  
  if (!dfcor) {
    sigma2  <- mean(unlist(resid, use.names = FALSE)^2)
    sigma2i <- vapply(resid, function(x) mean(x^2), FUN.VALUE = 0.0, USE.NAMES = FALSE)
  } else {
    # df correction as suggested in Hadri (2000), p. 157
    dfcorval <- switch(exo, "intercept" = (L-1), "trend" = (L-2))
    # -> apply to full length residuals over all individuals -> n*(L-1) or n*(L-2)
    sigma2 <- as.numeric(crossprod(unlist(resid, use.names = FALSE))) / (n * dfcorval)
    # -> apply to individual residuals' length, so just L -> L-1 or L-2
    sigma2i <- vapply(resid, function(x) crossprod(x)/dfcorval, FUN.VALUE = 0.0, USE.NAMES = FALSE)
  }
  
  Si2 <- vapply(cumres2, function(x) sum(x), FUN.VALUE = 0.0, USE.NAMES = FALSE)
  numerator <- 1/n * sum(1/(L^2) * Si2)
  LMi <- 1/(L^2) * Si2 / sigma2i # individual LM statistics
  
  LM <- if(!Hcons) {
                    numerator / sigma2 # non-het consistent case
                  } else {
                    method <- paste0(method, " (Heterosked. Consistent)")
                    mean(LMi) # het. consistent case
                  }
  
  stat <- c(z = sqrt(n) * (LM - adj[1L])  / sqrt(adj[2L])) # eq. (14), (22) in Hadri (2000)
  pvalue <- pnorm(stat, lower.tail = FALSE) # is one-sided!
  
  htest <- structure(list(statistic   = stat,
                          parameter   = NULL,
                          alternative = "at least one series has a unit root", # correct alternative (at least one unit root)
                          data.name   = data.name,
                          method      = method,
                          p.value     = pvalue),
                     class = "htest")
  
  idres <- mapply(list, LMi, sigma2i, SIMPLIFY = FALSE)
  idres <- lapply(idres, setNames, c("LM", "sigma2"))
  
  result <- list(statistic = htest,
                 call      = cl,
                 args      = args,
                 idres     = idres)
  
  class(result) <- "purtest"
  return(result)
} # END hadritest


#' Unit root tests for panel data
#' 
#' `purtest` implements several testing procedures that have been proposed
#' to test unit root hypotheses with panel data.
#' 
#' 
#' All these tests except `"hadri"` are based on the estimation of
#' augmented Dickey-Fuller (ADF) regressions for each time series. A
#' statistic is then computed using the t-statistics associated with
#' the lagged variable. The Hadri residual-based LM statistic is the
#' cross-sectional average of the individual KPSS statistics
#' \insertCite{KWIA:PHIL:SCHM:SHIN:92;textual}{plm}, standardized by their
#' asymptotic mean and standard deviation.
#' 
#' Several Fisher-type tests that combine p-values from tests based on
#' ADF regressions per individual are available:
#'
#' - `"madwu"` is the inverse chi-squared test
#' \insertCite{MADDA:WU:99;textual}{plm}, also called P test by
#' \insertCite{CHOI:01;textual}{plm}.
#'
#' - `"Pm"` is the modified P test proposed by
#' \insertCite{CHOI:01;textual}{plm} for large N,
#'
#' - `"invnormal"` is the inverse normal test by \insertCite{CHOI:01;textual}{plm}, and
#' 
#' - `"logit"` is the logit test by \insertCite{CHOI:01;textual}{plm}.
#'
#' The individual p-values for the Fisher-type tests are approximated
#' as described in \insertCite{MACK:96;textual}{plm} if the package \CRANpkg{urca}
#' (\insertCite{PFAFF:08;textual}{plm}) is available, otherwise as described in
#' \insertCite{MACK:94;textual}{plm}.
#' 
#' For the test statistic tbar of the test of Im/Pesaran/Shin (2003)
#' (`ips.stat = "tbar"`), no p-value is given but 1%, 5%, and 10% critical
#' values are interpolated from paper's tabulated values via inverse distance
#' weighting (printed and contained in the returned value's element
#' `statistic$ips.tbar.crit`).
#'
#' Hadri's test, the test of Levin/Lin/Chu, and the tbar statistic of
#' Im/Pesaran/Shin are not applicable to unbalanced panels; the tbar statistic
#' is not applicable when `lags > 0` is given.
#' 
#' The exogenous instruments of the tests (where applicable) can be specified
#' in several ways, depending on how the data is handed over to the function:
#' 
#' - For the `formula`/`data` interface (if `data` is a `data.frame`,
#' an additional `index` argument should be specified); the formula
#' should be of the form: `y ~ 0`, `y ~ 1`, or `y ~ trend` for a test
#' with no exogenous variables, with an intercept, or with individual
#' intercepts and time trend, respectively. The `exo` argument is
#' ignored in this case.
#' 
#' - For the `data.frame`, `matrix`, and `pseries` interfaces: in
#' these cases, the exogenous variables are specified using the `exo`
#' argument.
#' 
#' With the associated `summary` and `print` methods, additional
#' information can be extracted/displayed (see also Value).
#' 
#' @aliases purtest
#' @param object,x Either a `"data.frame"` or a matrix containing the
#'     time series (individuals as columns), a `"pseries"` object, a formula;
#'     a `"purtest"` object for the print and summary methods,
#' @param data a `"data.frame"` or a `"pdata.frame"` object (required for
#'     formula interface, see Details and Examples),
#' @param index the indexes,
#' @param test the test to be computed: one of `"levinlin"` for
#'     \insertCite{LEVIN:LIN:CHU:02;textual}{plm}, `"ips"` for
#'     \insertCite{IM:PESAR:SHIN:03;textual}{plm}, `"madwu"` for
#'     \insertCite{MADDA:WU:99;textual}{plm}, `"Pm"` , `"invnormal"`,
#'     or `"logit"` for various tests as in
#'     \insertCite{CHOI:01;textual}{plm}, or `"hadri"` for
#'     \insertCite{HADR:00;textual}{plm}, see Details,
#' @param exo the exogenous variables to introduce in the augmented
#'     Dickey--Fuller (ADF) regressions, one of: no exogenous
#'     variables (`"none"`), individual intercepts (`"intercept"`), or
#'     individual intercepts and trends (`"trend"`), but see Details,
#' @param lags the number of lags to be used for the augmented
#'     Dickey-Fuller regressions: either a single value integer (the number of
#'     lags for all time series), a vector of integers (one for each
#'     time series), or a character string for an automatic
#'     computation of the number of lags, based on the AIC
#'     (`"AIC"`), the SIC (`"SIC"`), or on the method by
#'     \insertCite{HALL:94;textual}{plm} (`"Hall"`); argument is irrelevant
#'     for `test = "hadri"`,
#' @param pmax maximum number of lags (irrelevant for `test = "hadri"`),
#' @param Hcons logical, only relevant for `test = "hadri"`,
#'     indicating whether the heteroskedasticity-consistent test of
#'     \insertCite{HADR:00;textual}{plm} should be computed,
#' @param q the bandwidth for the estimation of the long-run variance 
#'     (only relevant for `test = "levinlin"`, the default (`q = NULL`)
#'     gives the value as suggested by the authors as round(3.21 * T^(1/3))),
#' @param dfcor logical, indicating whether the standard deviation of
#'     the regressions is to be computed using a degrees-of-freedom
#'     correction,
#' @param fixedT logical, indicating whether the individual ADF
#'     regressions are to be computed using the same number of
#'     observations (irrelevant for `test = "hadri"`),
#' @param ips.stat `NULL` or character of length 1 to request a specific
#'     IPS statistic, one of `"Wtbar"` (also default if `ips.stat = NULL`),
#'     `"Ztbar"`, `"tbar"`,
#' @param \dots further arguments (can set argument `p.approx` to be passed on
#'  to non-exported function `padf` to either `"MacKinnon1994"` or `"MacKinnon1996"`
#'  to force a specific method for p-value approximation, the latter only being 
#'  possible if package 'urca' is installed).
#' @return For purtest: An object of class `"purtest"`: a list with the elements
#'   named:
#' - `"statistic"` (a `"htest"` object),
#' - `"call"`,
#' - `"args"`,
#' - `"idres"` (containing results from the individual regressions),
#' - `"adjval"` (containing the simulated means and variances needed to compute 
#'      the statistic, for `test = "levinlin"` and `"ips"`, otherwise `NULL`),
#' - `"sigma2"` (short-run and long-run variance for `test = "levinlin"`, 
#'       otherwise `NULL`).
#' @export
#' @importFrom stats setNames
#' @author Yves Croissant and for "Pm", "invnormal", and "logit" Kevin Tappe
#' @seealso [cipstest()], [phansitest()]

#' @references
#' \insertAllCited{}
#'  
#' @keywords htest
#
# TODO: add more examples / interfaces
#' @examples
#' 
#' data("Grunfeld", package = "plm")
#' y <- data.frame(split(Grunfeld$inv, Grunfeld$firm)) # individuals in columns
#' 
#' purtest(y, pmax = 4, exo = "intercept", test = "madwu")
#' 
#' ## same via pseries interface
#' pGrunfeld <- pdata.frame(Grunfeld, index = c("firm", "year"))
#' purtest(pGrunfeld$inv, pmax = 4, exo = "intercept", test = "madwu")
#' 
#' ## same via formula interface
#' purtest(inv ~ 1, data = Grunfeld, index = c("firm", "year"), pmax = 4, test = "madwu")
#' 
purtest <- function(object, data = NULL, index = NULL,
                    test = c("levinlin", "ips", "madwu", "Pm" , "invnormal", "logit", "hadri"),
                    exo = c("none", "intercept", "trend"),
                    lags = c("SIC", "AIC", "Hall"),
                    pmax = 10, Hcons = TRUE, q = NULL, dfcor = FALSE, 
                    fixedT = TRUE, ips.stat = NULL, ...) {
  
  data.name <- paste(deparse(substitute(object)))

  id <- NULL
  if (inherits(object, "formula")){
    # exo is derived from specified formula:
    terms <- terms(object)
    lab <- labels(terms)
    if(length(lab) == 0L){
      exo <- if(attr(terms, "intercept")) "intercept" else "none"
    }
    else{
      if(length(lab) > 1L || lab != "trend") stop("incorrect formula")
      exo <- "trend"
    }
    object <- paste(deparse(object[[2L]]))
    if(exists(object) && is.vector(get(object))){
      # is.vector because, eg, inv exists as a function
      object <- get(object)
    }
    else{
      if(is.null(data)) stop("unknown response")
      else{
        if(!inherits(data, "data.frame")) stop("'data' does not specify a data.frame/pdata.frame")
        if(object %in% names(data)){
          object <- data[[object]]
          if(!inherits(data, "pdata.frame")){
            if(is.null(index)) stop("the index attribute is required")
            else data <- pdata.frame(data, index)
          }
          id <- unclass(attr(data, "index"))[[1L]]
        }
        else{
          stop(paste0("unknown response (\"", object, "\" not in data)"))
        }
      }
    }
  } # END object is a formula
  else{
    exo <- match.arg(exo)
    if(is.null(dim(object))){
      if(inherits(object, "pseries")){
        id <- unclass(attr(object, "index"))[[1L]]
      }
      else stop("the individual dimension is undefined") # cannot derive individual dimension from a vector if not pseries
    }
    if(is.matrix(object) || is.data.frame(object)) {
      if(!is.null(data)) stop("object is data.frame or matrix but argument 'data' is not NULL")
      if(is.matrix(object)) object <- as.data.frame(object)
    }
  }
  
  # by now, object is either a pseries or a data.frame
  object <- na.omit(object)
  if(!is.null(attr(object, "na.action")))
    warning("NA value(s) encountered and dropped, results may not be reliable")
  
  if(!inherits(object, "data.frame")){
    if(is.null(id)) stop("the individual dimension is undefined")
    # adjust 'id' to correspond data in 'object' after NA dropping:
    if(!is.null(attr(object, "na.action"))) id <- id[-attr(object, "na.action")]
    object <- split(object, id)
  } else {
    if(!ncol(object) > 1L) warning("data.frame or matrix specified in argument object does not contain more than one individual (individuals are supposed to be in columns)")
    object <- as.list(object)
  }
  # by now, object is a list
  
  cl <- match.call()
  test <- match.arg(test)
  ips.stat <- if (is.null(ips.stat)) "Wtbar" else ips.stat # set default for IPS test
  if (is.character(lags)) lags <- match.arg(lags) # if character, match from list of possible values
  args <- list(test = test, exo = exo, pmax = pmax, lags = lags,
               dfcor = dfcor, fixedT = fixedT, ips.stat = ips.stat)
  n <- length(object) # number of individuals, assumes object is a list
  sigma2 <- NULL
  pvalues.trho <- NULL
  ips.tbar.crit <- NULL
  alternative <- "stationarity"
  method <- paste0(purtest.names.test[test], " (ex. var.: ",
                   purtest.names.exo[exo],")")
  
  # If Hadri test, call function and exit early
  if(test == "hadri") return(hadritest(object, exo, Hcons, dfcor,
                                        method, cl, args, data.name, ...)) 
  
  # compute the lags for each time series if necessary
  if(is.numeric(lags)){
    if(length(lags) == 1L) lags <- rep(lags, n)
    else{
      if(length(lags) != n) stop("lags should be of length 1 or n")
      else lags <- as.list(lags)
    }
  }
  else{ # one of the lag selection procedures SIC, AIC, or Hall
    lag.method <- match.arg(lags)
    lags <- sapply(object, function(x)
      lagsel(x, exo = exo, method = lag.method,
             pmax = pmax, dfcor = dfcor, fixedT = fixedT))
  }
  
  # compute the augmented Dickey-Fuller regressions for each time series
  comp.aux.reg <- (test == "levinlin")
  idres <- mapply(function(x, y)
                  tsadf(x, exo = exo, lags = y, dfcor = dfcor, comp.aux.reg = comp.aux.reg, ...),
                  object, as.list(lags), SIMPLIFY = FALSE)
  
  
  if(test == "levinlin"){
    if(length(T.levinlin <- unique(lengths(object, use.names = FALSE))) > 1L)
      stop("test = \"levinlin\" is not applicable to unbalanced panels")
    
    # get the adjustment parameters for the mean and the variance
    adjval <- adj.levinlin.value(T.levinlin, exo = exo)
    mymu  <- adjval[1L]
    mysig <- adjval[2L]
    # calculate the ratio of LT/ST variance
    sigmaST <- sapply(idres, function(x) x[["sigma"]])
    sigmaLT <- sqrt(sapply(object, longrunvar, exo = exo, q = q))
    si <- sigmaLT/sigmaST # LLC (2002), formula 6
    sbar <- mean(si) 
    
    # stack the residuals of each time series and perform the pooled
    # regression
    res.level <- unlist(lapply(idres, function(x) x$resid[["resid.level"]]), use.names = FALSE)
    res.diff  <- unlist(lapply(idres, function(x) x$resid[["resid.diff"]]), use.names = FALSE)
    z <- my.lm.fit(as.matrix(res.level), res.diff, dfcor = dfcor)
    # compute the Levin-Lin-Chu statistic
    tildeT <- T.levinlin - mean(lags) - 1
    sigmaeps2 <- z$rss / (n * tildeT)
    rho   <- z$coef
    sdrho <- z$se
    trho  <- rho/sdrho
    stat <- (trho - n * tildeT * sbar / sigmaeps2 * sdrho * mymu)/mysig # LLC (2002), formula 12
    names(stat) <- "z" # avoids a concatenated name like z.x1
    pvalue <- pnorm(stat, lower.tail = TRUE) # need lower.tail = TRUE (like ADF one-sided to the left)
    parameter <- NULL
    sigma2 <- cbind(sigmaST^2, sigmaLT^2)
    colnames(sigma2) <- c("sigma2ST", "sigma2LT")
    pvalues.trho <- vapply(idres, function(x) x[["p.trho"]], FUN.VALUE = 0.0)
  }
  
  if(test == "ips"){
    if(exo == "none") stop("exo = \"none\" (\"~0\" in the formula interface) is not a valid option for the Im-Pesaran-Shin test")
    if(!is.null(ips.stat) && !any(ips.stat %in% c("Wtbar", "Ztbar", "tbar"))) stop("argument 'ips.stat' must be one of \"Wtbar\", \"Ztbar\", \"tbar\"")
    lags  <- vapply(idres, function(x) x[["lags"]], FUN.VALUE = 0.0, USE.NAMES = FALSE)
    L.ips <- vapply(idres, function(x) x[["T"]],    FUN.VALUE = 0.0, USE.NAMES = FALSE) - lags - 1
    trho  <- vapply(idres, function(x) x[["trho"]], FUN.VALUE = 0.0, USE.NAMES = FALSE)
    pvalues.trho <- vapply(idres, function(x) x[["p.trho"]], FUN.VALUE = 0.0, USE.NAMES = FALSE)
    tbar <- mean(trho)
    parameter <- NULL
    adjval <- NULL
    
    
    if(is.null(ips.stat) || ips.stat == "Wtbar") {
      # calc Wtbar - default
      adjval <- mapply(function(x, y) adj.ips.wtbar.value(x, y, exo = exo),
                       as.list(L.ips), as.list(lags))
      Etbar <- mean(adjval[1L, ])
      Vtbar <- mean(adjval[2L, ])
      stat <- c("Wtbar" = sqrt(n) * (tbar - Etbar) / sqrt(Vtbar)) # (3.13) = (4.10) in IPS (2003) [same generic formula for Ztbar and Wtbar]
      pvalue <- pnorm(stat, lower.tail = TRUE) # need lower.tail = TRUE (like ADF one-sided to the left)
    }
    
    if(!is.null(ips.stat) && ips.stat == "Ztbar") {
      # calc Ztbar
      adjval <- adjval.ztbar <- sapply(L.ips, adj.ips.ztbar.value, 
                                       adj.ips.zbar.time, adj.ips.zbar.means, adj.ips.zbar.vars)
      rownames(adjval) <- rownames(adjval.ztbar) <- c("mean", "var")
      Etbar.ztbar <- mean(adjval.ztbar[1L, ])
      Vtbar.ztbar <- mean(adjval.ztbar[2L, ])
      stat <- stat.ztbar <- c("Ztbar" = sqrt(n) * (tbar - Etbar.ztbar) / sqrt(Vtbar.ztbar)) # (3.13) = (4.10) in IPS (2003) [same generic formula for Ztbar and Wtbar]
      pvalue <- pvalue.ztbar <- pnorm(stat.ztbar, lower.tail = TRUE)
    }
    
    if(!is.null(ips.stat) && ips.stat == "tbar") {
      # give tbar
      T.tbar <- unique(lengths(object, use.names = FALSE))
      if(length(T.tbar) > 1L) stop("tbar statistic is not applicable to unbalanced panels")
      if(any(lags > 0L)) stop("tbar statistic is not applicable when 'lags' > 0 is specified")
      L.tbar <- T.tbar - 1
      stat <- tbar
      names(stat) <- "tbar"
      pvalue <- NA
      ips.tbar.crit <- critval.ips.tbar.value(ind = n, time = L.tbar, critval.ips.tbar, exo = exo)
      adjval <- NULL
    }
  }
  
  if(test == "madwu"){
    # Maddala/Wu (1999), pp. 636-637; Choi (2001), p. 253; Baltagi (2013), pp. 283-285
    ## does not require a balanced panel
    trho <- vapply(idres, function(x) x[["trho"]], FUN.VALUE = 0.0, USE.NAMES = FALSE)
    pvalues.trho <- vapply(idres, function(x) x[["p.trho"]], FUN.VALUE = 0.0, USE.NAMES = FALSE)
    stat <- c(chisq = - 2 * sum(log(pvalues.trho)))
    n.madwu <- length(trho)
    parameter <- c(df = 2 * n.madwu)
    pvalue <- pchisq(stat, df = parameter, lower.tail = FALSE)
    adjval <- NULL
  }
  
  if(test == "Pm"){
    ## Choi Pm (modified P) [proposed for large N]
    trho <- vapply(idres, function(x) x[["trho"]], FUN.VALUE = 0.0, USE.NAMES = FALSE)
    pvalues.trho <- vapply(idres, function(x) x[["p.trho"]], FUN.VALUE = 0.0, USE.NAMES = FALSE)
    n.Pm <- length(trho)
    # formula (18) in Choi (2001), p. 255:
    stat <- c( "Pm" = 1/(2 * sqrt(n.Pm)) * sum(-2 * log(pvalues.trho) - 2) ) # == -1/sqrt(n.Pm) * sum(log(pvalues.trho) +1)
    pvalue <- pnorm(stat, lower.tail = FALSE) # one-sided
    parameter <- NULL
    adjval <- NULL
  }
  
  if(test == "invnormal"){
    # inverse normal test as in Choi (2001)
    trho <- vapply(idres, function(x) x[["trho"]], FUN.VALUE = 0.0, USE.NAMES = FALSE)
    pvalues.trho <- vapply(idres, function(x) x[["p.trho"]], FUN.VALUE = 0.0, USE.NAMES = FALSE)
    n.invnormal <- length(trho)
    stat <- c("z" = sum(qnorm(pvalues.trho)) / sqrt(n.invnormal)) # formula (9), Choi (2001), p. 253
    pvalue <- pnorm(stat, lower.tail = TRUE) # formula (12), Choi, p. 254
    parameter <- NULL
    adjval <- NULL
  }
  
  if(test == "logit"){
    # logit test as in Choi (2001)
    trho <- vapply(idres, function(x) x[["trho"]], FUN.VALUE = 0.0, USE.NAMES = FALSE)
    pvalues.trho <- vapply(idres, function(x) x[["p.trho"]], FUN.VALUE = 0.0, USE.NAMES = FALSE)
    n.logit <- length(trho)
    l_stat <-  c("L*" = sum(log(pvalues.trho / (1 - pvalues.trho)))) # formula (10), Choi (2001), p. 253
    k <- (3 * (5 * n.logit + 4)) / (pi^2 * n.logit * (5 * n.logit + 2))
    stat <- sqrt(k) * l_stat  # formula (13), Choi (2001), p. 254
    parameter <- c("df" = 5 * n.logit + 4)
    pvalue <- pt(stat, df = parameter, lower.tail = TRUE)
    adjval <- NULL
  }
  
  htest <- structure(list(statistic     = stat,
                          parameter     = parameter,
                          alternative   = alternative,
                          data.name     = data.name,
                          method        = method,
                          p.value       = pvalue,
                          ips.tbar.crit = ips.tbar.crit),
                     class = "htest")
  
  result <- list(statistic = htest,
                 call      = cl,
                 args      = args,
                 idres     = idres,
                 adjval    = adjval,
                 sigma2    = sigma2)
  class(result) <- "purtest"
  result
}


#' @rdname purtest
#' @export
print.purtest <- function(x, ...){
  print(x$statistic, ...)
  if (x$args$test == "ips" && x$args$ips.stat == "tbar"){
    cat("tbar critival values:\n")
    print(x$statistic$ips.tbar.crit, ...)
  }
  invisible(x)
}

#' @rdname purtest
#' @export
summary.purtest <- function(object, ...){
  if(!object$args$test == "hadri"){
    lags   <- vapply(object$idres, function(x) x[["lags"]],   FUN.VALUE = 0.0, USE.NAMES = FALSE)
    L      <- vapply(object$idres, function(x) x[["T"]],      FUN.VALUE = 0.0, USE.NAMES = FALSE)
    rho    <- vapply(object$idres, function(x) x[["rho"]],    FUN.VALUE = 0.0, USE.NAMES = FALSE)
    trho   <- vapply(object$idres, function(x) x[["trho"]],   FUN.VALUE = 0.0, USE.NAMES = FALSE)
    p.trho <- vapply(object$idres, function(x) x[["p.trho"]], FUN.VALUE = 0.0, USE.NAMES = FALSE)
    sumidres <- cbind("lags"   = lags,
                      "obs"    = L - lags - 1,
                      "rho"    = rho,
                      "trho"   = trho,
                      "p.trho" = p.trho)
    
    if (object$args$test == "ips" && !object$args$ips.stat == "tbar") {
      sumidres <- cbind(sumidres, t(object$adjval))
    }
    if (object$args$test == "levinlin") {
      sumidres <- cbind(sumidres, object$sigma2)
    }
  } else {
    # hadri case
    LM     <- vapply(object$idres, function(x) x[["LM"]],     FUN.VALUE = 0.0, USE.NAMES = FALSE)
    sigma2 <- vapply(object$idres, function(x) x[["sigma2"]], FUN.VALUE = 0.0, USE.NAMES = FALSE)
    sumidres <- cbind("LM" = LM, "sigma2" = sigma2)
  }
  
  nam <- names(object$idres)
  rownames(sumidres) <- nam
  object$sumidres <- sumidres
  class(object) <- c("summary.purtest", "purtest")
  object
}

#' @rdname purtest
#' @export
print.summary.purtest <- function(x, ...){
  cat(paste(purtest.names.test[x$args$test], "\n"))
  cat(paste("Exogenous variables:", purtest.names.exo[x$args$exo], "\n"))
  if (x$args$test != "hadri") {
    thelags <- vapply(x$idres, function(x) x[["lags"]], FUN.VALUE = 0.0, USE.NAMES = FALSE)
    if (is.character(x$args$lags)){
      lagselectionmethod <- if (x$args$lags == "Hall") "Hall's method" else x$args$lags
      cat(paste0("Automatic selection of lags using ", lagselectionmethod, ": ",
                 min(thelags), " - ", max(thelags), " lags (max: ", x$args$pmax, ")\n"))
    }
    else{
      cat("User-provided lags\n")
    }
  }
  
  if (x$args$test == "ips") {
    cat(paste(paste0("statistic (", x$args$ips.stat,"):"), round(x$statistic$statistic, 3), "\n"))
  } else {
    cat(paste("statistic:", round(x$statistic$statistic, 3), "\n"))
  }
  cat(paste("p-value:", round(x$statistic$p.value, 3),   "\n"))
  if (x$args$test == "ips" && x$args$ips.stat == "tbar"){
    cat("tbar critival values:\n")
    print(x$statistic$ips.tbar.crit, ...)
  }
  cat("\n")
  print(x$sumidres, ...)
  invisible(x)
}





#' Simes Test for unit roots in panel data
#' 
#' Simes' test of intersection of individual hypothesis tests
#' (\insertCite{SIMES:86;textual}{plm}) applied to panel unit root tests as suggested by
#' \insertCite{HANCK:13;textual}{plm}.
#' 
#' Simes' approach to testing is combining p-values from single hypothesis tests
#' with a global (intersected) hypothesis. \insertCite{HANCK:13;textual}{plm}
#' mentions it can be applied to any panel unit root test which yield a p-value
#' for each individual series.
#' The test is robust versus general patterns of cross-sectional dependence.
#' 
#' Further, this approach allows to discriminate between individuals for which
#' the individual H0 (unit root present for individual series) is rejected/is
#' not rejected by Hommel's procedure (\insertCite{HOMM:88;textual}{plm}) for
#' family-wise error rate control (FWER) at pre-specified significance level
#' alpha via argument `alpha` (defaulting to `0.05`), i.e., it controls for the
#' multiplicity in testing.
#' 
#' The function `phansitest` takes as main input `object` either a plain numeric
#' containing p-values of individual tests or a `purtest` object which holds
#' a suitable pre-computed panel unit root test (one that produces p-values per
#' individual series).
#' 
#' The function's return value (see section Value) is a list with detailed
#' evaluation of the applied Simes test.
#' 
#' The associated `print` method prints a verbal evaluation.
#' 
#' @aliases phansitest
#' @param object either a numeric containing p-values of individual unit root 
#' test results (does not need to be sorted) or a suitable `purtest` object
#' (as produced by `purtest()` for a test which gives p-values of the individuals
#' (Hadri's test in `purtest` is not suitable)),
#' @param alpha numeric, the pre-specified significance level (defaults to `0.05`),
#' @param x an object of class `c("phansitest", "list")` as produced by 
#'          `phansitest` to be printed,
#' @param cutoff integer, cutoff value for printing of enumeration of individuals with
#' rejected individual H0, for print method only,
#' @param \dots further arguments (currently not used).
#' 
#' @return For `phansitest`, an object of class `c("phansitest", "list")` which i
#' s a list with the elements:
#' - `id`: integer, the identifier of the individual (integer sequence referring to
#' position in input),
#' - `name`: character, name of the input's individual (if it has a name,
#' otherwise "1", "2", "3", ...),
#' - `p`: numeric, p-values as input (either the numeric or extracted from
#' the purtest object),
#' - `p.hommel`: numeric, p-values after Hommel's transformation,
#' - `rejected`: logical, indicating for which individual the individual null
#' hypothesis is rejected (`TRUE`)/non-rejected (`FALSE`) (after controlling
#' for multiplicity),
#' - `rejected.no`: integer, giving the total number of rejected individual series,
#' - `alpha`: numeric, the input `alpha`.
#' 
#' @export
#' @importFrom stats p.adjust
#' 
#' @author Kevin Tappe
#' @seealso [purtest()], [cipstest()]
#' 
#' @references
#' \insertAllCited{}
#'  
#' @keywords htest
#
#' @examples
#' 
#' ### input is numeric (p-values)
#' #### example from Hanck (2013), Table 11 (left side)
#' pvals <- c(0.0001,0.0001,0.0001,0.0001,0.0001,0.0001,0.0050,0.0050,0.0050,
#'            0.0050,0.0175,0.0175,0.0200,0.0250,0.0400,0.0500,0.0575,0.2375,0.2475)
#'
#' countries <- c("Argentina","Sweden","Norway","Mexico","Italy","Finland","France",
#'               "Germany","Belgium","U.K.","Brazil","Australia","Netherlands",
#'               "Portugal","Canada", "Spain","Denmark","Switzerland","Japan")
#' names(pvals) <- countries
#' 
#' h <- phansitest(pvals)
#' print(h)              # (explicitly) prints test's evaluation
#' print(h, cutoff = 3L) # print only first 3 rejected ids 
#' h$rejected # logical indicating the individuals with rejected individual H0
#' 
#' 
#' ### input is a (suitable) purtest object
#' data("Grunfeld", package = "plm")
#' y <- data.frame(split(Grunfeld$inv, Grunfeld$firm))
#' obj <- purtest(y, pmax = 4, exo = "intercept", test = "madwu")
#' 
#' phansitest(obj)
#' 
phansitest <- function(object, alpha = 0.05) {
  
  is.purtest <- if(inherits(object, "purtest")) TRUE else FALSE
  if(!is.purtest) {
    if(is.numeric(object)) {
      if(anyNA(object)) stop("input p-values in 'object' contain at least one NA/NaN value")
      n <- length(object)
      p <- object
    } else {
      stop("argument 'object' needs to specify either a 'purtest' object or a numeric")
    }
  } else {
    # purtest object
    if(object$args$test == "hadri") stop("phansitest() [Hanck/Simes' test] not possible for purtest objects based on Hadri's test")
    p <- vapply(object$idres, function(x) x[["p.trho"]], FUN.VALUE = 0.0, USE.NAMES = FALSE)
    n <- length(p)
  }
  
  id <- seq_len(n)
  names(id) <- if(!is.null(names(p))) names(p) else id
  
  p.hommel <- p.adjust(p, method = "hommel")
  rejected.ind <- p.hommel <= alpha    # is TRUE for individual-H0-rejected individuals
  rejected.ind.no <- sum(rejected.ind) # number of rejected individuals
  
  res <- structure(list(id           = id,
                        name         = names(id),
                        p            = p,
                        p.hommel     = p.hommel,
                        rejected     = rejected.ind,
                        rejected.no  = rejected.ind.no,
                        alpha        = alpha),
                   class = c("phansitest", "list"))
  return(res)
}

phansi <- function(object, alpha = 0.05) {
  .Deprecated(new = "phansitest", msg = "function 'phansi' renamed to 'phansitest'. Change your code to use 'phansitest'.",
              old = "phansi")
  phansitest(object, alpha = alpha)
}


#' @rdname phansitest
#' @export
print.phansitest <- function(x, cutoff = 10L, ...) {
  if(round(cutoff) != cutoff) stop("Argument 'cutoff' has to be an integer")
  id         <- x$id
  alpha      <- x$alpha
  rej.ind    <- x$rejected
  rej.ind.no <- x$rejected.no
  n <- length(rej.ind)
  H0.txt <- "H0: All individual series have a unit root\n"
  HA.txt <- "HA: Stationarity for at least some individuals\n"
  H0.rej.txt     <- "H0 rejected (globally)"
  H0.not.rej.txt <- "H0 not rejected (globally)"
  test.txt <- "    Simes Test as Panel Unit Root Test (Hanck (2013))"
  
  cat("\n")
  cat(paste0("    ", test.txt, "\n"))
  cat("\n")
  cat(H0.txt)
  cat(HA.txt)
  cat("\n")
  cat(paste0("Alpha: ", alpha, "\n"))
  cat(paste0("Number of individuals: ", n, "\n"))
  
  cat("\n")
  cat("Evaluation:\n")
  if(rej.ind.no > 0L) {
    cat(paste0(" ", H0.rej.txt, "\n"))
    cat("\n")
    
    if(rej.ind.no <= cutoff && cutoff >= 0L) {
      ind.cutoff <- paste0(paste0(id[rej.ind], collapse = ", "))
      ind.txt <- paste0("Individual H0 rejected for ", rej.ind.no, " individual(s) (integer id(s)):\n")
      cat(paste0(" ", ind.txt))
      cat(paste0("  ", ind.cutoff, "\n"))
    }
    else { # cut off enumeration of individuals if more than specified in cutoff
      if(cutoff > 0L) {
        ind.cutoff <- paste0(paste0(id[rej.ind][seq_len(cutoff)], collapse = ", "), ", ...")
        ind.txt <- paste0("Individual H0 rejected for ", rej.ind.no ," individuals, only first ", cutoff, " printed (integer id(s)):\n")
        cat(paste0(" ", ind.txt))
        cat(paste0("  ", ind.cutoff, "\n"))
      } else cat(paste0(" Individual H0 rejected for ", rej.ind.no ," individuals. None printed as 'cutoff' set to ", cutoff, ".\n"))
    }
  } else {
    cat(paste0(" ", H0.rej.txt, "\n"))
  }
  invisible(x)
}

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plm documentation built on Aug. 16, 2022, 5:15 p.m.