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Choi1

Choi Panel Unit Root Test

CALLING SEQUENCE

res = Choi1(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

* 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') = 'Choi'

  - res('y') = (T x k) matrix of data

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

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

  - res('Pm') = Fisher''s modified Statistic (for large N) : converge toward N(0,1) under H0

  - res('Z') = Inverse Normal Test : converge toward N(0,1) under H0 when N tends to infinity

  - res('Lstar') = Modified Logit Test (George 1977): converge toward N(0,1) under H0

  - res('Pm_critical') = Critical Values of the Fisher's modified Statistic (Choi, 2001) at 1%, 5% and 10%: if Pm>Ca Reject H0

  - res('Z_critical') = Critical Values of the Inverse Normal Test: at 1%, 5% and 10% : if Z<Ca Reject H0

  - res('Lstar_critical') = Critical Values of the Modified Logit Test at 1%, 5% and 10%: if Lstar<Ca Reject H0

  - res('Pm_pvalue') = Pvalue associated to the Fisher's modified Statistic

  - res('Z_pvalue') = Pvalue associated to the Inverse Normal Test

  - res('Lstar_pvalue') = Pvalue associated to the Modified Logit Test

  - res('pvalue_ADF') = Individual pvalues of individual ERS statitics based on standard DF pvalues (only for t_order=0)

  - res('tstat') = Individual statistiques of ERS tests

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

  - res('Ti') = Adjusted Individual Size

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

DESCRIPTION

Choi (2006) test of Unit Root ("Unit Root Tests for Cross-Sectionally Correlated Panels" in Frontiers of Analysis and Applied Research, Cambridge University Press).

EXAMPLE

load(GROCERDIR+'/data/gdpan_oecd.dat');
Y=explone(dblist(GROCERDIR+'/data/gdpan_oecd.dat'));
// extract matrix of data present in database
res=Choi1(log(Y),0,%nan,5,0.05)
// Example provides the Choi 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% significance level (arg # 5 = 0.05.

AUTHOR

Christophe Hurlin 2004 / Eric Dubois 2008

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