Re: [R] panel data unit root tests

From: Spencer Graves <spencer.graves_at_pdf.com>
Date: Fri 21 Oct 2005 - 11:43:11 EST

          Have you received a reply? I haven't seen one. RSiteSearch("panel data unit root test") produced another question on this but no answers that I saw. RSiteSearch("unit root test") produced 75 hits with many useful. RSiteSearch("panel data analysis") produced 75 hits, the first of which suggested the nlme package
(http://finzi.psych.upenn.edu/R/Rhelp02a/archive/26962.html). You could construct nested models to compare the corAR1 correlation structure with first differences.

	  hope this helps.
	  spencer graves

jukka ruohonen wrote:

> 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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-- 
Spencer Graves, PhD
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Received on Fri Oct 21 11:58:46 2005

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