Description Usage Arguments Details Value Author(s) References See Also Examples
Cross-sectionally augmented Im, Pesaran and Shin (IPS) test for unit roots in panel models.
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x |
an object of class |
lags |
integer, lag order for Dickey-Fuller augmentation, |
type |
one of |
model |
one of |
truncated |
logical, specifying whether to calculate the
truncated version of the test (default: |
... |
further arguments passed to |
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).
An object of class "htest"
.
Giovanni Millo
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