[R] panel data unit root tests

From: jukka ruohonen <jukka.ruohonen_at_helsinki.fi>
Date: Wed 26 Oct 2005 - 04:08:37 EST


Thanks, that will certainly do the trick. I came across systemfit and sem - packages that are useful in this respect as well.

Jukka Ruohonen
University of Helsinki

> 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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https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html Received on Wed Oct 26 04:20:29 2005

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