cips¶
Purpose¶
A simple unit root test in the presence of cross-section dependence.
Format¶
-
{ Ncadf, Nmcadf, Nlags, pcadf, pmcadf } =
CIPS
(y, model[, pmax, ic])¶ - Parameters:
y (TxN matrix) – Wide panel data set to be tested.
model (Scalar) –
Model to be implemented.
0
None.
1
Constant.
2
Constant and trend.
pmax (Scalar) – Optional, the maximum number of lags for \(\Delta y\). Default = 8.
ic (Scalar) –
Optional, the information criterion used for choosing lags. Default = 3.
1
Akaike.
1
Schwarz.
2
t-stat significance.
- Returns:
Ncadf (Nx1 Vector) – CADF statistics for each cross-section.
Nmcadf (Nx1 Vector) – Modified CADF statistics for each cross-section.
Nlags (Nx1 Vector) – Number of lags selected by specified information criterion for each cross-section.
pcadf (Scalar) – Panel CIPS statistic
pmcadf (Scalar) – Modified panel CIPS statistic
Examples¶
new;
cls;
library tspdlib;
// CADF and Modified CADF tests
/*
** Using the defaults
** for maximum number of lags
** and information criterions,
*/
// Set up model
model = 1;
{ Ncadf, Nlm, Nmcadf, Nlags, pcadf, pmcadf } = cips(y, model);
Source¶
pd_cips.src