pfisher: Fisher-type Tests for Combining p-Values

In punitroots: Unit Roots in Panels of Time Series

Description

A function implementing the first-generation combination procedures proposed by Maddala and Wu (1999) and Choi (2001).

Usage

 pfisher(object, method = c("invchisq", "invnorm", "invlogit"), 
            N = NULL, exo = c("intercept", "none", "trend"), 
            lags = NULL)

Arguments

object	A data frame.
method	One of "invchisq", "invnorm", "invlogit".
N	... .
exo	One of "intercept", "none", "trend".
lags	The number of lags for the unit root tests.

Value

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

statistic	the test statistic.
parameter	the number of combined tests (p-values).
alternative	a character string describing the alternative hypothesis.
method	a character string indicating the type of combination test.
data.name	a character string giving the name of the vector of p-values.
p.value	the p-value of the combination test.

References

Choi I (2001). Unit Root Tests for Panel Data. Journal of International Money and Finance, 20, 249–272.

Fisher RA (1932). Statistical Methods for Research Workers, 4th ed. Edinburgh: Oliver & Boyd.

Maddala GS, Wu S (1998). A Comparative Study of Unit Root Tests With Panel Data and a New Simple Test. Oxford Bulletin of Economics and Statistics, Special Issue, 631–652.

Examples

## compare Stata xtunitroot

data("G7")
y <- data.frame(split(G7$lrxrate, G7$country))

pfisher(y, exo = "intercept", lags = 10, N = Inf, method = "invchisq")
pfisher(y, exo = "intercept", lags = 10, N = Inf, method = "invnorm")
pfisher(y, exo = "intercept", lags = 10, N = Inf, method = "invlogit")

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