IGF function

Unit root test based on Change(2002)

This function estimates the unit root regression based on instrument generating function of Change(2002) and returns useful outputs.

latin1

IGF(y, maxp, ic, spec)

Arguments

• y: A univariate time series data

• maxp: the max number of lags

• ic: Information criteria, either "AIC" or "BIC"

• spec: regression model specification.

  =0, no intercept and trend.

  =1, intercept only.

  =2, intercept and trend.

Details

Estimate univariate unit root test of Chang(2002).

Returns

• tstat.IGF: IGF unit root test

• beta: regression coefficients. The first one is the AR(1) coefficient of unit root, and the last one is the intercept or trend

• sdev: The IGF standard error for unit root coefficient

• cV: The scalar C in IGF equation

• p: The optimal number of lag

References

Chang, Y. (2002) Nonlinear IV Unit Root Tests in Panels with Cross-Sectional Dependency. Journal of Econometrics, 110, 261-292.

Author(s)

Ho Tsung-wu tsungwu@ntnu.edu.tw, College of Management, National Taiwan Normal University.

Examples

data(inf19)
y <- inf19[,1]
IGF(y,maxp=35,ic="BIC",spec=2)$tstat.IGF