spsm: Sequential panel selection method

In punitroots: Unit Roots in Panels of Time Series

Description

This function implements the sequential panel selection method advocated in Chortareas and Kapetanios, 2009.

Usage

  spsm(pCADFtest.results, alpha = 0.05)

Arguments

pCADFtest.results	an object of class pCADFtest.
alpha	the significance level.

Value

outcome

Vector of identifiers of series considered to be I(0).

Author(s)

Claudio Lupi

References

Chortareas, G and Kapetanios, G (2009). Getting PPP Right: Identifying Mean-reverting Real Exchange Rates in Panels, Journal of Banking and Finance, 33 (2), 390–404.

Examples

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

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