Simes: Simes' test for panel unit root

In punitroots: Unit Roots in Panels of Time Series

Description

This function implements Simes' test applied to the panel unit root hypothesis (see Simes, 1986; Sarkar and Chang, 1997; Hanck 2008).

Usage

  Simes(pCADFtest.results, alpha = 0.05)

Arguments

pCADFtest.results	an object of class pCADFtest.
alpha	the significance level (it can be passed as a vector).

Value

outcome

logical: it is a vector if alpha is a vector. TRUE if the test doesn't reject at the specified significance level, FALSE otherwise.

Author(s)

Claudio Lupi

References

Hanck, C (2008). An Intersection Test for Panel Unit Roots, Technische Universitaet Dortmund, mimeo.

Sarkar, SK and Chang, C-K (1997). The Simes Method for Multiple Hypothesis Testing With Positively Dependent Test Statistics, Journal of the American Statistical Association, 92 (440), 1601–1608.

Simes, RJ (1986). An Improved Bonferroni Procedure for Multiple Tests of Significance, Biometrika, 73 (3), 751–754.

Examples

data("OECDgdp")
Y <- log(OECDgdp)
Demetrescuetal.test <- pCADFtest(Y, max.lag.y = 2, criterion = "AIC")
Simes(Demetrescuetal.test, c(0.01, 0.05, 0.10))

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