Levin and Lin Panel Unit Root Test
res = Levin_Lin(arg1,...,argn)
* arg1,..., argn = arguments that can be:
-a panel data tlist (in that case there must be an argument 'namevar= xxx' to indicate the name of the variable in the panel, see below)
-the strings:
. 'lagorders=x' with x=%nan (if the lags for the ADF test are to be determined automatically) or a (N x 1) or (1 x N) vector of lags for the ADF test
. 'pmax=x' with x=%nan or a number if for the maximal # of lags for the ADF test
. 'signif=x' with x the significance level for the individual ADF tests (0.05, 0.01 or 0.1)
. 't_order=x' for the trend order with x:
-1: no constant, no trend
0: a constant, no trend (default)
1: a constant and a trend
.'bandwidth=n' with:
n = 'C' (Default) common lag troncature for the Bartlett kernel (Levin and Lin 2003)
n = 'N' for the Newey West (1994)'s non parametric bandwidth parameter
n= 'A' for the Andrews (1991) automatic bandwidth parameter selection with AR(1) structure
.'kernel=n' with:
n = 'b' for Bartlett (Default)
ns = 'qs' for Quadratic Spectral (not possible when bandwidth = 'C')
.'signif=x' with x the signifance level
.'noprint' if the user does not want to print the results of the test
.'namevar=xx' where xx is the name of the variable in the panel (only if the data are in a 'panel data' tlist, see help paneldb)
- a time series
- a real (n x p) matrix
- a string equal to the name of a time series or a (n x p) real matrix between quotes (note that there must be several variables of this type tos be able to perform a panel unit root test)
res = a results tlist with:
- res('meth') = 'Levin-Lin'
- res('y') = (T x k) matrix of data
- res('tstat') = (T x k) matrix of data
- res('critical') = Critical Values at 1%, 5% and 10% for the N(0,1) distribution
- res('pvalue') = Pvalue for the corrected statistic
- res('rho') = Estimate of the common autoRegresive parameter
- res('var_rho') = Variance of the estimator of the common autoRegresive parameter
- res('mu_star') = Mean Adjustement Factor
- res('sig_star') = Variance Adjustement Factor
- res('bandwidth') = Method to fix the bandwidth parameter
- res('kernel') = kernel function
- res('h') = Bandwicth parameter
- res('omega') = Individual Long run variances of first differences
- res('si') = Individual Ratios of long run standard deviation to the innovation SE
- res('pi') = Individual lag order in ADF regressions
- res('pmax') = Maximum lag order for ADF individual regressions
- res('Ti1') = Auxiliary Regression 1: Adjusted individual size, starting date and ending date
- res('Ti2') = Auxiliary Regression 1: Adjusted individual size, starting date and ending date
- res('t_order') = the trend order (-1, 0 or 1)
- res('t_orderlit') = the trend order in plain english
- res('tstat_nc') = Non corrected t-statistic (if t_order == 1 only)
- res('pvalue_nc') = Pvalue for non corrected t-statistic (if t_order == 1 only)
- res('prests') = boolean indicating the presence or absence of a time series in the regression
- res('namey') = name of the y variable
- res('dropna') = boolean indicating if NAs have been dropped
- res('bounds') = if there is a timeseries in the regression, the bounds of the regression
- res('nonna') = vector indicating position of non-NAs
// load the database containing the GDP for 25 countries in the OECD over the period 1963-2003 load(GROCERDIR+'/data/gdpan_oecd.dat'); // retrieve the names of all variables in database listvar=dblist(GROCERDIR+'/macros/grocer/db/gdpan_oecd.dat') res = Levin_Lin('log('+listvar+')','pmax=4','t_order=0') // Provides the Levin and Lin test for all variables in the database, taken in logarithm, // with a constant but not trend ('t_order=0'), // the Lag order to be determined by the program, // the maximum number of lags set to 4 (arg 'pmax=4'), default bandwidth and kernel. res = Levin_Lin('log('+listvar+')','pmax=4','t_order=0','bandwidth=n','kernel=b','noprint') // does the same but with Newey-West bandwidth ('bandwidth=n') and Barlett kernel ('kernel=b') // and the results are not printed (but could be printed later with the instruction prt_panelur(res)). | ![]() | ![]() |