Chang Panel Unit Root Test
res = Chang_IV1(Y,t_order,LagOrders,pmax,IGF,signif)
* 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
* IGF (Instrument Generating Function) function
= 1 : F(x) = x*exp(-ci*|x|) (Default)
= 2 : F(x) = I(|x|<K) Trimmed OLS on [-K,K]
= 3 : F(x) = I(|x|<K)*x
* signif = significance level for the individual ADF tests (0.05, 0.01 or 0.1)
* 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|)
load(GROCERDIR+'/data/gdpan_oecd.dat'); Y=explone(dblist(GROCERDIR+'/data/gdpan_oecd.dat')); // extract matrix of data present in database res=Chang_IV1(log(Y),0,%nan,5,1,0.05) // Provides the Chang test for all (logartithm of) 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), // the function F(x)=x*exp(-ci*|x|) used as an instrument generating function (arg # 5 set to 1) // and a 5% significance level (arg # 5 set to 0.05). res = Chang_IV1(Y,1,2*ones(size(Y,2),1),%nan,2,0.1) // Provides the Chang test for all (logartithm of) Y columns, // with a constant and a trend (arg # 2 = 1), // the Lag order set to 2 for all variables, // the maximum number of lags set to %nan because it is irrelevant (arg # 4 = %nan), // the function F(x)=I(|x|<K) used as an instrument generating function (arg # 5 set to 2) // and a 10% significance level (arg # 6 set to 0.1). | ![]() | ![]() |