phansitest function

Simes Test for unit roots in panel data

Simes' test of intersection of individual hypothesis tests (\insertCite SIMES:86;textualplm) applied to panel unit root tests as suggested by \insertCite HANCK:13;textualplm.

phansitest(object, alpha = 0.05)

## S3 method for class 'phansitest'
print(x, cutoff = 10L, ...)

Arguments

• object: either a numeric containing p-values of individual unit root test results (does not need to be sorted) or a suitable purtest object (as produced by purtest() for a test which gives p-values of the individuals (Hadri's test in purtest is not suitable)),
• alpha: numeric, the pre-specified significance level (defaults to 0.05),
• x: an object of class c("phansitest", "list") as produced by phansitest to be printed,
• cutoff: integer, cutoff value for printing of enumeration of individuals with rejected individual H0, for print method only,
• ...: further arguments (currently not used).

Returns

For phansitest, an object of class c("phansitest", "list") which is a list with the elements:

• id: integer, the identifier of the individual (integer sequence referring to position in input),
• name: character, name of the input's individual (if it has a name, otherwise "1", "2", "3", ...),
• p: numeric, p-values as input (either the numeric or extracted from the purtest object),
• p.hommel: numeric, p-values after Hommel's transformation,
• rejected: logical, indicating for which individual the individual null hypothesis is rejected (TRUE)/non-rejected (FALSE) (after controlling for multiplicity),
• rejected.no: integer, giving the total number of rejected individual series,
• alpha: numeric, the input alpha.

Details

Simes' approach to testing is combining p-values from single hypothesis tests with a global (intersected) hypothesis. \insertCite HANCK:13;textualplm

mentions it can be applied to any panel unit root test which yields a p-value for each individual series. The test is robust versus general patterns of cross-sectional dependence.

Further, this approach allows to discriminate between individuals for which the individual H0 (unit root present for individual series) is rejected/is not rejected by Hommel's procedure (\insertCite HOMM:88;textualplm) for family-wise error rate control (FWER) at a pre-specified significance level $\alpha$ via argument alpha (defaulting to 0.05), i.e., it controls for the multiplicity in testing.

The function phansitest takes as main input object either a plain numeric containing p-values of individual tests or a purtest object which holds a suitable pre-computed panel unit root test (one that produces p-values per individual series).

The function's return value (see section Value) is a list with detailed evaluation of the applied Simes test.

The associated print method prints a verbal evaluation.

Examples

### input is numeric (p-values)
#### example from Hanck (2013), Table 11 (left side)
pvals <- c(0.0001,0.0001,0.0001,0.0001,0.0001,0.0001,0.0050,0.0050,0.0050,
           0.0050,0.0175,0.0175,0.0200,0.0250,0.0400,0.0500,0.0575,0.2375,0.2475)

countries <- c("Argentina","Sweden","Norway","Mexico","Italy","Finland","France",
              "Germany","Belgium","U.K.","Brazil","Australia","Netherlands",
              "Portugal","Canada", "Spain","Denmark","Switzerland","Japan")
names(pvals) <- countries

h <- phansitest(pvals)
print(h)              # (explicitly) prints test's evaluation
print(h, cutoff = 3L) # print only first 3 rejected ids 
h$rejected # logical indicating the individuals with rejected individual H0

### input is a (suitable) purtest object
data("Grunfeld", package = "plm")
y <- data.frame(split(Grunfeld$inv, Grunfeld$firm))
obj <- purtest(y, pmax = 4, exo = "intercept", test = "madwu")

phansitest(obj)

References

\insertAllCited

See Also

purtest(), cipstest()

Author(s)

Kevin Tappe