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IPS

Im, Pesaran and Shin Panel Unit Root Test

CALLING SEQUENCE

res = IPS(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:

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

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

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

         -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 to be able to perform a panel unit root test)

    Output

    • res a results tlist with:

      - res('meth') = 'IPS'

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

      - res('t_order') = the trend order (-1, 0 or 1)

      - res('tbar') = Mean of Individual Augmented Dickey Fuller statistics

      - res('Wbar') = Standardized IPS statistic based on E[ti(pi,0)/bi=0] and V[ti(pi,0)/bi=0]

      - res('Wbar_pvalue') = Pvalue of Wbar

      - res('Zbar') = Standardized IPS statistic based on the moments of the DF distribution

      - res('Zbar_pvalue') = Pvalue of Zbar

      - res('critical') = Critical Values of the Normal distribution at 1%, 5% and 10%

      - res('tbar_DF') = Mean of Individual Dickey Fuller statistics

      - res('Zbar_DF') = Standardized IPS statistic (assumption of no autocorrelation of residuals)

      - res('Zbar_DF_pvalue') = Pvalue of Zbar_DF

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

      - res('pmax') = Maximum of lag order in individual ADF models

      - res('Ti') = Adjusted Individual Size

      - 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

    Im, Pesaran and Shin (2003) test of unit root "Testing for Unit Root in Heterogeneous Panels", Journal of Econometrics, 115, p. 53-74

    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 = IPS('log('+listvar+')','pmax=4','t_order=0')
     
    // Example provides the IPS test all variables in the database, taken in logarithm, with a constant but not trend ('t_order=0'), the maximum number of lags set to 4 (arg 'pmax=4').

    AUTHOR

    Christophe Hurlin 2004 / Eric Dubois 2008

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