Pesaran1 — Pesaran Panel Unit Root Test
res = Pesaran1(Y,t_order,LagOrders,pmax,signif)
Y = matrix (T,N) of observations
The data matrix may be unbalanced.
Missing Values must be specified as %nan
t_order = -1 : no individual effect
0 : individual effects (Default)
1 : individual effects and time trends
LagOrders =
- %nan if the user wants the program to determine the optimal lag order for each country (pmax=12 or T/4)
- a vector (N x 1) or (1 x N) of optimal lags for all the individuals of the panel
pmax = Maximum of the lag order authorized
signif = significance level for the individual ADF tests (0.05, 0.01 or 0.1)
res a results tlist with:
- res('meth') = 'Pesaran'
- res('y') = (T x k) matrix of data
- res('t_order') = the trend order (-1, 0 or 1)
- res('t_orderlit') = the trend order in plain english
- res('CIPS') = CIPS statistic
- res('CIPS_star') = Truncated CIPS : CIPS* statistic
- res('CIPS_pvalue') = Pvalue of the CIPS statistic
- res('CIPS_star_pvalue') = Pvalue of the truncated CIPS* statistic
- res('CIPS_critical') = Critical Values of the CIPS distribution at 1%, 5% and 10% for T and N sample
- res('CADF') = Individual CADF statistics
- res('CADF_pvalue') = Pvalues of the individual CADF statistics (based on the CADF distribution)
- res('CADF_critical') = Critical Values of the CADF distribution at 1%, 5% and 10% for T and N sample
- res('CADF_star') = Truncated individual CADF statistics
- res('CADF_star_critical') = Critical Values of the CADF distribution at 1%, 5% and 10% for T and N sample
- res('CADF_star_pvalue') = Pvalues of the individual truncated CADF_star statistics (based on the CADF distribution)
- res('p') = Lag order in the CADF regressions (common for all individuals)
- res('CP') = Chi-Squared test statistic CP
- res('CZ') = Inverse normal test statistic CZ