Choi Panel Unit Root Test
res = Choi(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
. 't_order=x' for the trend order with x:
t=-1: no constant, no trend
t=0: a constant, no trend (default)
t=1: a constant and a trend
. 'noprint' if the user does not want to print the results of the test
. 'signif=x' with x the signifance level for the individual ADF tests (0.05, 0.01 or 0.1)
. '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 sx 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') = '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
- 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 = Choi('log('+listvar+')','pmax=4','t_order=0') // Example provides the Choi 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'). | ![]() | ![]() |