Levin_Lin1 Panel unit root tests Maddala_Wu1

Grocer >> Panel unit root tests > Maddala_Wu

Maddala_Wu

Maddala and Wu Panel Unit Root Test

CALLING SEQUENCE

res = Maddala_Wu(arg1,…, argn)

PARAMETERS

Input

• arg1,…, argn: arguments that can be:

  • • a panel data tlist (in that case there must be an argument 'namevar=xxx' to indicate the name of the variable in the panel, see below)

  • • the strings:

      - 'lagorders=x' with x=%nan (if the lags for the ADF test are to be determined automatically) or a (N x 1) or (1 x N) vector of lags for the ADF test

      - 'pmax=x' with x=%nan or a number if for the maximal # of lags for the ADF test

      - 'signif=x' with x the signifance level for the individual ADF tests (0.05, 0.01 or 0.1)

      - 't_order=x' for the trend order with x:

         -1: no constant, no trend

    • 0: a constant, no trend (default)

    • 1: a constant and a trend

      - 'noprint' if the user does not want to print the results of the test

      - 'namevar=xx' where xx is the name of the variable in the panel (only if the data are in a 'panel data' tlist, see help paneldb)

    • a time series

    • a real (nxp) matrix

    • a string equal to the name of a time series or a (nxp) real matrix between quotes (note that there must be several variables of this type tos be able to perform a panel unit root test)

    Output

    • res a results tlist with:

      - res('meth') = 'Maddala-Wu'

      - res('y') = (T x k) matrix of data

      - res('P') = Fisher statistic based on Individual ADF statistics

      - res('P_Critical') = Critical Values of the Fisher statistic at 1%, 5% and 10%

      - res('P_pvalue') = Pvalue Pooled test statistic (Maddala Wu 1999)

      - res('Z') = Choi (2001) statistic based on Individual ADF statistics (for large N tends to N(0,1))

      - res('Z_Critical') = Critical Values of the pooled test statistic (Choi, 2001) at 1%, 5% and 10%

      - res('Z_pvalue') = Pvalue Pooled test statistic (Choi 2001)

      - res('ADF_pvalues') = Individual pvalues of individual ADF statitics

      - res('pi') = Individual lag order in individual ADF models

      - res('pmax') = Maximum Lag Order for individual ADF regressions

      - res('Ti') = Adjusted Individual Size

      - res('ADF_tstats') = Individual ADF statistics

      - res('sample') = Starting and Ending Dates of Adjusted Sample

      - res('prests') = boolean indicating the presence or absence of a time series in the regression

      - res('namey') = name of the y variable

      - res('dropna') = boolean indicating if NAs have been dropped

      - res('bounds') = if there is a timeseries in the regression, the bounds of the regression

      - res('nonna') = vector indicating position of non-NAs

      - res('prests') = boolean indicating the presence or absence of a time series in the regression

      - res('namey') = name of the y variable

      - res('dropna') = boolean indicating if NAs have been dropped

      - res('bounds') = if there is a timeseries in the regression, the bounds of the regression

      - res('nonna') = vector indicating position of non-NAs

    DESCRIPTION

    Maddala and Wu(1999) Test of Unit Root "A Comparative Study of Unit Root Tests with Panel Data and a New simple test", Oxford Bulletin of Economics and Statistics, Special Issue, p. 631-652. The variant proposed by Choi (Choi, I. (2001) "Unit Root Tests for Panel Data", Journal of International Money and Finance 20, 249-272.) is also performed.

    EXAMPLE

    // load the database containing the GDP for 25 countries in the OECD over the period 1963-2003
    load(GROCERDIR+'data/gdpan_oecd.dat');
    // retrieve the names of all variables in database
    listvar=dblist(GROCERDIR+'/macros/grocer/db/gdpan_oecd.dat')
    res = Maddala_Wu('log('+listvar+')','pmax=4','t_order=0')
     
    // provides the Maddala and Wu test for all variables in the database, taken in logarithm, with a constant but not trend ('t_order=0'), the Lag order to be determined by the programm, the maximum number of lags set to 4 (arg 'pmax=4').

    AUTHOR

    Christophe Hurlin 2004 / Eric Dubois 2008
    Levin_Lin1 Panel unit root tests Maddala_Wu1