Maddala and Wu Panel Unit Root Test
res = Maddala_Wu1(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
* signif = significance level for the individual ADF tests (0.05, 0.01 or 0.1)
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
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. | ![]() | ![]() |