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Maddala_Wu1

Maddala and Wu Panel Unit Root Test

CALLING SEQUENCE

res = Maddala_Wu1(Y,t_order,LagOrders,pmax,signif)

PARAMETERS

Input

* Y = matrix (T,N) of observations

  The data matrix may be unbalanced.

  Missing Values must be specified as %nan

* t_order = -1 : no individual effect

      0 : individual effects (Default)

      1 : individual effects and time trends

* LagOrders =

  - %nan if the user wants the program to determine the optimal lag order for each country (pmax=12 or T/4)

  - a vector (N x 1) or (1 x N) of optimal lags for all the individuals of the panel

* pmax = Maximum of the lag order authorized

* signif = significance level for the individual ADF tests (0.05, 0.01 or 0.1)

 

Output

res = a results tlist with:

  - res('meth') = 'Maddala-Wu'

  - res('y') = (T x k) matrix of data

  - res('P') = Fisher statistic based on Individual ADF statistics

  - res('P_Critical') = Critical Values of the Fisher statistic at 1%, 5% and 10%

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

  - res('Z') = Choi (2001) statistic based on Individual ADF statistics (for large N tends to N(0,1))

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

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

  - res('ADF_pvalues') = Individual pvalues of individual ADF statis tics

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

  - res('pmax') = Maximum Lag Order for individual ADF regressions

  - res('Ti') = Adjusted Individual Size

  - res('ADF_tstats') = Individual ADF statistics

  - res('sample') = Starting and Ending Dates of Adjusted Sample

DESCRIPTION

Maddala and Wu (1999) Test of Unit Root "A Comparative Study of Unit Root Tests with Panel Data and a New simple test", Oxford Bulletin of Economics and Statistics, Special Issue, p. 631-652. The variant proposed by Choi (Choi, I. (2001) "Unit Root Tests for Panel Data", Journal of International Money and Finance 20, 249-272.) is also performed.

EXAMPLE

load(GROCERDIR+'/data/gdpan_oecd.dat');
Y=explone(dblist(GROCERDIR+'/data/gdpan_oecd.dat'));
// extract matrix of data present in database
res=Maddala_Wu1(log(Y),0,%nan,5,0.05)
// Example provides the Maddala and Wu test for all Y columns, with a constant but not trend (arg # 2 = 0),
// the Lag order to be determined by the program (arg # 3 = %nan),
// the maximum number of lags set to 5 (arg # 4 = 5) and a 5% significnace level.

AUTHOR

Christophe Hurlin 2004 / Eric Dubois 2008

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