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BNG_ur

Bai and Ng Panel Unit Root Test

CALLING SEQUENCE

res = BNG_ur(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:

      - '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

      - 'criteria=x' with x = Criteria used to estimate the number of common factors

    • = 'IC1', 'IC2', 'IC3', 'PC1', 'PC2', 'PC3', 'AIC3', 'BIC3'

    • (see Bai and Ng (2002))

     - 'typeoflag = x' where x is the string:

        * 'common' if the lag order is common to all variables (in that case, the lag order is determined as in Bai and Ng ,2004)

       * 'individual' if the lag order is optimally chosen for each variable

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

      - 'kmax=x' with x=maximum number of common factors used to compute the criterion functions for the estimation of r, the number of common factors. It is not specified kmax=min(N,T)

      - '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') = 'BNG panel ur test'

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

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

      - res('t_orderlit') = the trend order in plain english

      - res('ratio1') = Variance of idyosyncratic component divised by the variance observed data (both in first differences)

      - res('Rratio2') = Variance of residuals of common components divised by variance on idyosyncratic component

      - res('ADFe') = Individual ADF statistics on idyosincratic component : ADFe(i)

      - res('ADFe_pvalue') = Individual ADF statistics on idyosincratic component : ADFe(i)

      - res('ADFe_pi') = Number of ADF terms in ADF tests on e(i,t)

      - res('pmax') = Maximum Lag Order for individual ADF regressions on e(i,t)

      - res('ADFe_Ti') = Adjusted time dimension for ADF tests on e(i,t)

      - res('nbfactors') = Estimated number of common factors

      - res('khat') = Estimated Numbers of Factor with IC1, IC2, IC3, PC1, PC2, PC3, AIC3 and BIC3

      - res('criteria') = Criteria used to estimate the number of common factors. Default value = 1 (IC1)

      - res('IC') = IC1, IC2 and IC3 Information criteriums for r=1,…,kmax

      - res('PC') = PC1, PC2 and PC3 Information criteriums for r=1,…,kmax

      - res('BIC3') = BIC3 Information criterium for k=1,…,kmax (only BIC criteria function of N and T)

      - res('AIC3') = AIC3 Information criterium (only AIC criteria function of N and T) : it tends to overestimate r

      - res('kmax') = Maximum number of common factors authorized

    • When there is one common factor (r=1):

      *******************************

      - res('BNG.ADF_F') = ADF statistic on common factor: ADFf

      - res('BNG.ADF_F_pvalue') = Pvalue associated to ADFf

      - res('ADF_F_pi') = Number of ADF terms in ADF tests on e(i,t)

      - res('ADF_F_Ti') = Adjusted time dimension for ADF tests on e(i,t)

    • When there is more than one common factor (r>1):

      ***************************************

      - res('MQc') = MQc(m) Statistics with critical values at 1%, 5% and 10% for m=r,…,1

      - res('MQf') = MQf(m) Statistics with critical values at 1%, 5% and 10% for m=r,…,1

      - res('MQc_r1') = Number of Common Stochastic Trends at 1%, 5% and 10% (MQc Test)

      - res('MQf_r1') = Number of Common Stochastic Trends at 1%, 5% and 10% (MQf Test)

      - res('MQf_p') = Optimal lag order for the VAR(p) on dYc (MQf test)

    • If t_order == 1:

      ************

      - res('PCe_Choi') = Pooled test standardized statistic (Choi 2001) on idyosyncratique components e: N(0,1) under H0

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

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

      - res('PCe_MW') = Pooled test statistic (Maddala Wu 1999) on idyosyncratique components e : X(2N) under H0

      - res('PCe_MW_critical') = Critical Values of the pooled test statistic (Maddala Wu 1999) at 1%, 5% and 10%

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

      ***********

      - 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

    Bai and Ng (2004) test of unit root (ref: "A PANIC attack on unit root and cointegration", Econometrica, vol. 72, n.4, p.1127-1177).

    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+'/data/gdpan_oecd.dat')
    res=BNG_ur('log('+listvar+')','pmax=4','kmax=5','t_order=0','criteria=BIC3')
     
    // Example (taken from BNG_ur_d()) provides the BNG_ur test provides the Moon and Perron test for the log of gdp of 25 OECD countries, with individual constants but no trends ('t_order=0'), the maximum # of factors allowed set to 5 ('kmax=5'), the number of factors determined by the criteria 'BIC' proposed by Bai an Ng ('criteria=BIC3'), the maximum number of lags to the ADF regressions set to 4 ('pmax=4').

    AUTHOR

    Christophe Hurlin 2004 / Eric Dubois 2008

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