Choi Panel Unit Root Test
res = Choi1(Y,t_order,LagOrders,pmax,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
* pmax = Maximum of the lag order authorized
* signif = significance level for the individual ADF tests (0.05, 0.01 or 0.1)
* 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
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. | ![]() | ![]() |