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ADF_Individual

ADF Unit Root Tests on Individual Time Series

CALLING SEQUENCE

res = ADF_Individual(Y,model,Lag_Orders,pmax,signif)

PARAMETERS

Input

* Y = matrix (T,N) of observations

  The data matrix may be unbalanced.

  Missing Values must be specified as %nan

* Model = -1 : no individual effect

  0 : individual effects (Default)

  1 : individual effects and time trends

* Lag_Orders =

  - %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 = Level of significance for the test on the kth lag order parameter

 

Output

* res= a results tlist with:

   - res('meth') = 'adf individual'

   - res('model') = model of the ADF test("Model without intercept nor trend", "Model with intercept", Model with intercept and trend")

   - res('tstat') = (N x 1) Individal ADF Statistic

   - res('critical') = Critical Values of the DF distribution at 1%, 5% and 10% for T and N sample

   - res('pvalue') = (N x 1) p-value for each individual ADF Statistic

   - res('pi') = (N x 1) Optimal Lag Order in ADF Regression

   - res('Ti') = (N x 1) Optimal Adjusted Size

   - res('rho') = (N x 1) Estimated autoregressive parameter

   - res('ser') = (N x 1) Standard Error of ADF Residuals

   - res('resid') = (T x N) ADF Residuals

   - res('si') = (N x 1) Ratios of long run standard deviation to the innovation SE

   - res('starti') = (N x 1) Starting Date of Adjusted Sample

   - res('endi') = (N x 1) Ending Date of Adjusted Sample

   - res('pmax') = Maximum of the lag order authorized

DESCRIPTION

ADF (1981) Unit Root Tests on Individual Times Series Augmented Dickey Fuller Tests for a collection of series entered as matrix. Lag Selection is performed with the k-max Criterium proposed by Dickey et Fuller (1981), Econometrica.

EXAMPLE

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

AUTHOR

Christophe Hurlin 2004 / Eric Dubois 2008

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