Moon_Perron1 Panel unit root tests Pesaran1

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Pesaran

Pesaran Panel Unit Root Test

CALLING SEQUENCE

res = Pesaran(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') = '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

      - 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

    Pesaran (2007) unit root test (ref: "A simple panel unit root test in the presence of cross-section dependence", Journal of Applied Econometrics, John Wiley and Sons, Ltd., vol. 22(2), pages 265-312).

    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 = Pesaran('log('+listvar+')','pmax=4','t_order=0') 
     
    // Provides the Pesaran 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
    Moon_Perron1 Panel unit root tests Pesaran1