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;

// Date dimensions
N    = 24;
T    = 112;

// Load date file
y = loadd(__FILE_DIR $+ "PDe.dat");

{ Ncadf, Nlm, Nmcadf, Nlags, pcadf, pmcadf } = cips(y, model);

Source

lm.src

See also

Functions lm_1break(), lm_2break()