Description Usage Arguments Value References Examples
A function implementing the first-generation combination procedure proposed by Hadri (2000).
1 2 |
object |
A data frame. |
exo |
One of |
kernel |
One of .... |
bw |
Bandwidth for the kernel. |
het |
Logical. Cross-sectional heteroskedasticity? |
... |
Further arguments passed on to kernHAC. |
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. |
Hadri K (2000). Testing for Stationarity in Heterogeneous Panel Data. Econometrics Journal, 3, 148–161.
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 | 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)
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