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Chang_IV

Chang Panel Unit Root Test

CALLING SEQUENCE

res = Chang_IV(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

      - '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

      - 'IGF=n' with:

    • n = 1 for F(x)=x*exp(-ci*|x|) (Default)

    • n = 2 for F(x)=I(|x|<K) Trimmed OLS on [-K,K]

    • n = 3: F(x)=I(|x|<K)*x

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

      - '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') = 'Chang IV'

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

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

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

      - res('Sn') = Average IV t-ratio statistic (distributed as N(0,1) under H0)

      - res('Sn_critical') = Critical Values of normal N(0,1) at 1%, 5% and 10%

      - res('Sn_pvalue') = Pvalue of the average IV t-ratio statistic

      - res('Zi') = Individual IV t-ratio statistics

      - res('Zi_critical') = Critical Values of normal N(0,1) at 1%, 5% and 10%

      - res('Zi_pvalue') = Pvalue of the individual IV t-ratio statistics

      - res('pi') = Individual lag orders

      - res('ADF') = Individual ADF statistics for comparison

      - res('AR_IV_ind') = Individual IV estimates of the autoregressive parameter

      - res('var_resIV') = Variance of Residuals of IV estimates for each unit

      - res('var_IV') = Variance of the IV estimator of the autoregressive parameter

      - res('IGF') = Instrument Generating Function used

      - res('K') = Constant K of IGF function (IGF 2 and 3 only)

      - res('ci') = Factor ci for IGF 1 : F(x)=x*exp(-ci*|x|)

      - 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

    Chang (2002) Unit Root Tests on Panel Data (ref: Chang (2002): "Nonlinear IV unit root test in panels with cross sectioal dependency", Journal of Econometrics, 110, 261-292), vol. 108, pp. 1–24).

    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 =  Chang_IV('log('+listvar+')','pmax=4','t_order=0') 
    // Example taken from function Chang_IV_d(): provides the Chang test for all variables in the database, taken in logarithm, with a constant but not trend ('t_order=0'), the Lag order  set to 4 (arg 'pmax=4'), the function F(x)=x*exp(-ci*|x|) used as an instrument generating function and a 5% significance level (default values).
    
    res = Chang_IV('log('+listvar+')','lagorders=4*ones(size(listvar,1),1)','t_order=0','signif=0.01','IGF=2')
    // Provides now the Chang 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 program, the maximum number of lags set to 4 (arg 'lagorders=4*ones(size(listvar,1),1)'), the function F(x)=I(|x|%lt;K) used as an instrument generating function and a 10% significance level.

    AUTHOR

    Christophe Hurlin 2004 / Eric Dubois 2008

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