cips

Purpose

Computes a panel data 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.
  2	Schwarz.
  3	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

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