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IPS1

Im, Pesaran and Shin Panel Unit Root Test

CALLING SEQUENCE

res = IPS1(Y,t_order,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

* 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') = 'IPS'

   - res('y') = (T x k) matrix of data

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

   - res('tbar') = Mean of Individual Augmented Dickey Fuller statistics

   - res('Wbar') = Standardized IPS statistic based on E[ti(pi,0)/bi=0] and V[ti(pi,0)/bi=0]

   - res('Wbar_pvalue') = Pvalue of Wbar

   - res('Zbar') = Standardized IPS statistic based on the moments of the DF distribution

   - res('Zbar_pvalue') = Pvalue of Zbar

   - res('critical') = Critical Values of the Normal distribution at 1%, 5% and 10%

   - res('tbar_DF') = Mean of Individual Dickey Fuller statistics

   - res('Zbar_DF') = Standardized IPS statistic (assumption of no autocorrelation of residuals)

   - res('Zbar_DF_pvalue') = Pvalue of Zbar_DF

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

   - res('pmax') = Maximum of lag order in individual ADF models

   - res('Ti') = Adjusted Individual Size

DESCRIPTION

Im, Pesaran and Shin (2003) test of unit root "Testing for Unit Root in Heterogeneous Panels", Journal of Econometrics, 115, p. 53-74.s

EXAMPLE

load(GROCERDIR+'/data/gdpan_oecd.dat');
Y=explone(dblist(GROCERDIR+'/data/gdpan_oecd.dat'));
// extract matrix of data present in database
 
res=IPS1(log(Y),0,5,0.05)
 
// Example provides the IPS test for all Y columns, with a constant but not trend (arg # 2 = 0), the maximum number of lags set to 5 (arg # 3 = 5).

AUTHOR

Christophe Hurlin 2004 / Eric Dubois 2008

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