Threshold Model and Unit Root Tests in Cross-Section and Time Series Data
Function for extracting components from a lm object
Generate the HEGY regressors.
Seasonal unit root test based on Hylleberg et al. (1990)
Specification test for panel glm models
Unit root test based on Change(2002)
Extracting critical value and p-value from Table 1 of Hylleberg et. al...
IPS-HEGY seasonal unit root test in panel data, Otero et al.(2007).
Select the optimal number of lags, given criteria
Function for looking up tabulated critical values and associated p-val...
Estimate specified panel threshold model
Panel Data Regression: Threshold Model and Unit Root Tests
Panel unit root test of Chang(2002)
Threshold specification of panel data
A subroutine for model()
Returns a data.frame of sequential lag matrix.
Generate a data matrix of seasonal components
Selection of lags.
Selection of lags.
Estimation of sub-sampled data
Example code for sample splitting
Testing for sample splitting
a subroutine of model()
Compute the resursive mean
a subroutine calculating SSE
A sub-routine calculating trace
Threshold model, panel version of Hylleberg et al. (1990) <DOI:10.1016/0304-4076(90)90080-D> seasonal unit root tests, and panel unit root test of Chang (2002) <DOI:10.1016/S0304-4076(02)00095-7>.