[R] panel data unit root tests

From: jukka ruohonen <jukka.ruohonen_at_helsinki.fi>
Date: Fri 07 Oct 2005 - 18:00:29 EST


Hi,

The question is as follows: has anyone coded panel data unit root tests with R? Even the "first generation" tests (see e.g. Levin & Lin 1993; Pesaran, & Smith & Im 1996; Maddala & Wu 1999) would be sufficient for my needs. To my understanding, these are rather easy to code, but as I have taken just my first steps in coding with R, existing code would save me from a lot of trouble & time.

With regards,

Jukka Ruohonen
University of Helsinki

References:

Levin, A. & Lin, C.F. (1993): Unit Root Tests in Panel Data. ftp://weber.ucsd.edu/pub/econlib/dpapers/ucsd9356.pdf

Maddala, G.S. & Wu, S. (1999): A Comparative Study of Unit Roots Tests with Panel Data and a New Simple Test. Oxford Bulleting of Economics and Statistics. Special Issue 61, 631-652.

Pesaran, M.H. & Smith, R. & Im, K.S. (1996): Dynamic Linear Models for Heterogenous Panels. In: Matyas, L. & Sevestre, P. (eds.): The Econometrics of Panel Data: a Handbook of the Theory with Applications, second edition, pp. 145-195.



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