Hadri's Panel Stationarity Test

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Description

A function implementing the first-generation combination procedure proposed by Hadri (2000).

Usage

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 phadri(object, exo = c("intercept", "trend"), kernel = c("Bartlett", "Quadratic Spectral", 
         "Truncated", "Parzen", "Tukey-Hanning"), bw = NULL, het = TRUE, ...)

Arguments

object

A data frame.

exo

One of "intercept", "trend".

kernel

One of ....

bw

Bandwidth for the kernel.

het

Logical. Cross-sectional heteroskedasticity?

...

Further arguments passed on to kernHAC.

Value

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

statistic

the test statistic.

parameter

the value of the parameter.

alternative

a character string describing the alternative hypothesis.

data.name

a character string giving the name of the vector of p-values.

method

a character string indicating the type of combination test.

p.value

the p-value of the combination test.

istat

the test statistics for the individual series.

ilrv

the individual long-run variances.

mlrv

the mean of the long-run variances.

References

Hadri K (2000). Testing for Stationarity in Heterogeneous Panel Data. Econometrics Journal, 3, 148–161.

Examples

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data("G7")
g7 <- data.frame(split(G7$lrxrate, G7$country))

## Eviews does (het = TRUE)
phadri(g7, exo = "intercept", bw = 2, adjust = FALSE)
phadri(g7, exo = "intercept", bw = 6, adjust = FALSE)
phadri(g7, exo = "trend", bw = 2, adjust = FALSE)
phadri(g7, exo = "trend", bw = 6, adjust = FALSE)

## Eviews does (het = FALSE)
phadri(g7, exo = "intercept", bw = 2, adjust = FALSE, het = FALSE)
phadri(g7, exo = "intercept", bw = 6, adjust = FALSE, het = FALSE)
phadri(g7, exo = "trend", bw = 2, adjust = FALSE, het = FALSE)
phadri(g7, exo = "trend", bw = 6, adjust = FALSE, het = FALSE)

## Stata does (option robust)
phadri(g7, exo = "intercept", bw = 1, adjust = TRUE)