Moon and Perron Panel Unit Root Test
res = Moon_Perron1(Y,t_order,kmax,criteria,bandwidth,kern)
* 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
* bandwidth = 'C' (Default) common lag troncature for the Bartlett kern (Moon and Perron 2003)
'N' for the Newey-West (1994)'s non parametric bandwidth parameter
'A' for the Andrews (1991) automatic bandwidth paramete r selection with AR(1) structure
* kern = 'B' for Bartlett (Default)
'QS' for Quadratic Spectral (not possible when bandwidth = 'C')
res = a results tlist with:
- res('meth') = 'Levin-Lin'
- res('y') = (T x k) matrix of data
- res('t_order') = the trend order (-1, 0 or 1)
- res('t_orderlit') = the trend order in plain English
- res('ta_star') = Statistic ta_star
- res('tb_star') = Statistic tb_star
- res('ta_pvalue') = Pvalue for the statistics ta_star
- res('tb_pvalue') = Pvalue for the statistics tb_star
- res('critical') = Normal Critical Values for the statistics ta_star and tb_star at 1%, 5% and 10%
- res('rho_pool') = Pooled OLS estimator on initial series
- res('rho_star') = Modified pooled OLS estimator using de-factored data
- res('khat') = Estimated numbers of Factor with IC1, IC2, IC3, PC1, PC2, PC3, AIC3 and BIC3
- res('criteria') = Criteria used to estimate the number of common factors. Default value = 1 (IC1)
- res('IC') = IC1, IC2 and IC3 Information criterions for r=1,...,rmax
- res('PC') = PC1, PC2 and PC3 Information criterions for r=1,...,rmax
- res('BIC3') = BIC3 Information criterion for k=1,...,kmax (only BIC criteria function of N and T)
- res('AIC3') = AIC3 Information criterion (only AIC criteria function of N and T): it tends to overestimate k
- res('kmax') = Maximum number of common factors authorized
- res('h') = Values of individual bandwidth parameters
- res('LRV') = Estimated of Individual Long Run Variances
- res('TLRV') = Estimated of Individual Temporal Long Run Variances
- res('kernel') = kern function used
- res('bandwidth') = Method to fix the bandwidth parameter
load(GROCERDIR+'/data/gdpan_oecd.dat'); Y=explone(dblist(GROCERDIR+'/data/gdpan_oecd.dat')); // extract matrix of data present in database res=Moon_Perron1(log(Y),0,5,'BIC3','n','qs') // Provides the Moon and Perron test for all (logarithm of) Y columns, with a constant but not trend (arg # 2 = 0), // the maximum # of factors allowed set to 5 (arg # 3 = 5), // the number of factors determined by the criteria 'BIC3' proposed by Bai an Ng (arg # 4 = 'BIC3'), // the Newey-West bandwidth (arg # 5 = 'n'), and the Quadratic Spectral kernel (arg # 6 = qs'). res=Moon_Perron1(log(Y),1,5,'AIC1','n','b') // provides the Moon and Perron test for all (logarithm of) Y columns, with individual constants and trend (arg # 2 = 1), // the maximum # of factors allowed set to 5 (arg # 3 = 5), // the number of factors determined by the criteria 'AIC1' proposed by Bai an Ng (arg # 4 = 'AIC1'), // the Newey-West bandwidth (arg # 5 = 'n'), and the Barlett kernel (arg # 6 = b'). | ![]() | ![]() |