pIGF function

Panel unit root test of Chang(2002)

Compute the panel unit root test statistic of Chang(2002).

latin1

pIGF(datamat, maxp, ic, spec)

Arguments

• datamat: T by N panel data.T is the time length,N is the number of cross-section units.

• maxp: the max number of lags

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

• spec: model specification.

  =0, no intercept and trend.

  =1, intercept only.

  =2, intercept and trend.

Details

This function estimates the panel unit root test based on univariate instrument generating function of (Chang,2002).

Returns

• panel.tstat: panel IGF test statistics

• pvalue: P-value of the panel.tstat

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)
datam <- inf19
pIGF(datam,maxp=25,ic="BIC",spec=2)