ADF Unit Root Tests on Individual Time Series
res = ADF_Individual(Y,model,Lag_Orders,pmax,signif)
* Y = matrix (T,N) of observations
The data matrix may be unbalanced.
Missing Values must be specified as %nan
* Model = -1 : no individual effect
0 : individual effects (Default)
1 : individual effects and time trends
* Lag_Orders =
- %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 = Level of significance for the test on the kth lag order parameter
* res= a results tlist with:
- res('meth') = 'adf individual'
- res('model') = model of the ADF test("Model without intercept nor trend", "Model with intercept", Model with intercept and trend")
- res('tstat') = (N x 1) Individal ADF Statistic
- res('critical') = Critical Values of the DF distribution at 1%, 5% and 10% for T and N sample
- res('pvalue') = (N x 1) p-value for each individual ADF Statistic
- res('pi') = (N x 1) Optimal Lag Order in ADF Regression
- res('Ti') = (N x 1) Optimal Adjusted Size
- res('rho') = (N x 1) Estimated autoregressive parameter
- res('ser') = (N x 1) Standard Error of ADF Residuals
- res('resid') = (T x N) ADF Residuals
- res('si') = (N x 1) Ratios of long run standard deviation to the innovation SE
- res('starti') = (N x 1) Starting Date of Adjusted Sample
- res('endi') = (N x 1) Ending Date of Adjusted Sample
- res('pmax') = Maximum of the lag order authorized
load(GROCERDIR+'/data/gdpan_oecd.dat'); Y=explone(dblist(GROCERDIR+'/data/gdpan_oecd.dat')); // extract matrix of data present in database ADF_Individual(Y,0,%nan,5,0.05) // provides the ADF test for all Y columns, with a constant but not trend (arg # 2 = 0), // the Lag order to be determined by the programm (arg # 3 = %nan), // the maximum number of lags set to 5(arg # 4 = 5), a 5% significance level (arg # 5 = 0.05). | ![]() | ![]() |