Pesaran: Pesaran's test for cross-correlation among panel units.

In punitroots: Unit Roots in Panels of Time Series

Description

This function implements the procedure for testing for the presence of cross-correlation among panel units using the test proposed in Pesaran (2004).

Usage

  Pesaran(resids)

Arguments

resids

a T \times N matrix of residuals from N single-equation models over N time series of length T.

Details

This function should be applied to residuals from individual tests regressions.

Value

The function returns a list of class "htest" containing:

statistic	the test statistic.
parameter	the number N of time series and their length T.
p.value	the p-value of the test.
null.value	the specified hypothesized value under the null.
alternative	a character string describing the alternative hypothesis.
method	a character string indicating the type of test.
data.name	a character string giving the name of the vector of residuals.

Author(s)

Claudio Lupi

References

Pesaran, MH (2004). General Diagnostic Tests for Cross Section Dependence in Panels, Department of Applied Economics, University of Cambridge, mimeo.

Examples

  fake.resids <- matrix(rnorm(1000),100,10)
  Pesaran(fake.resids)

punitroots documentation built on May 2, 2019, 5:16 p.m.