htTest#
Purpose#
Perform the Harris–Tzavalis panel series unit root testing. The z statistics constructed from the mean t-statistic has an asymptotic standardized normal distribution and tests the null hypothesis that all series are I(1) against the alternative that all series are I(0).
Format#
- { Z, z_infinite_t } = htTest(y, model)#
- Parameters:
y (Matrix) – TxM matrix, data, M > 5.
model (Scalar) – Scalar, indicates which test to run: 1 for homogeneous no mean, 2 for heterogeneous, fixed effect, 3 heterogeneous, fixed effect and time trend.
- Returns:
Z (Scalar) – Small, t test statistic.
z_infinite_t (Scalar) – Large, t test statistic.
Example#
Example One: Data without mean#
new;
cls;
library tsmt;
// Load cobb douglas production function data set
y = loadd(getGAUSSHome("pkgs/tsmt/examples/production_cobb.dat"));
// Run test using model one for data with no mean
{ z, zInf } = htTest(y, 1);
This prints the following report:
Test: Harris and Tzavalis (1999)
Test Variable: Y
Timespan: Unknown
Ho: Unit Root
Model: Homogenous, Zero Mean
N. Obs: 16
N. Groups: 48
Panel Type: Balanced
============================================================
Z 0.208
Z-infinite 0.215
============================================================
Cannot reject the null hypothesis of finite t case with unit root.
Cannot reject the null hypothesis of infinite t case with unit root.
Example Two: Data with fixed effects#
This example works with the same data as example one but includes fixed effects.
// Run HT test for model two for data with fixed effects
{ z_fe, zInf_fe } = htTest(y, 2);
This prints an updated report:
Test: Harris and Tzavalis (1999)
Test Variable: Y
Timespan: Unknown
Ho: Unit Root
Model: Heterogenous, Fixed Effect
N. Obs: 16
N. Groups: 48
Panel Type: Balanced
============================================================
Z 6.328
Z-infinite 6.138
============================================================
Library#
tsmt
Source#
htTest.src