phansi: Simes Test for unit roots in panel data
In plm: Linear Models for Panel Data

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

Simes' test of intersection of individual hypothesis tests (\insertCiteSIMES:86;textualplm) applied to panel unit root tests as suggested by \insertCiteHANCK:13;textualplm.

phansi(object, alpha = 0.05)

## S3 method for class 'phansi'
print(x, cutoff = 10L, ...)

`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)),
`alpha`	numeric, the pre-specified significance level (defaults to `0.05`),
`x`	an object of class `c("phansi", "list")` as produced by `phansi` to be printed,
`cutoff`	integer, cutoff value for printing of enumeration of individuals with rejected individual H0, for print method only,
`...`	further arguments (currently not used).

Simes' approach to testing is combining p-values from single hypothesis tests with a global (intersected) hypothesis. \insertCiteHANCK:13;textualplm 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 (\insertCiteHOMM:88;textualplm) 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 phansi 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.

For phansi, an object of class c("phansi", "list") which is 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.

Kevin Tappe

\insertAllCited

purtest(), cipstest()

### 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 <- phansi(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")

phansi(obj)