Chang Panel Unit Root Test
res = Chang_IV(arg1,...,argn)
* 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 (n x p) 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)
* 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
// 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. | ![]() | ![]() |