phadri: Hadri's Panel Stationarity Test

In punitroots: Unit Roots in Panels of Time Series

Description

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

Usage

 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

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)

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