pdfzk¶
Purpose¶
Panel stationary test with gradual shifts.
Format¶
-
{ Nkpss, Fzk, pval } =
pdfzk(y, model, k[, varm])¶ - Parameters
y (NxT matrix) – Panel data to be tested.
model (Scalar) –
Model to be implemented.
1
Level shift model.
2
Level and trend shift model.
varm (Scalar) –
Optional, long-run consistent variance estimation method. Default = 1.
1
iid.
2
Bartlett.
3
Quadratic Spectral (QS).
4
SPC with Bartlett (Sul, Phillips & Choi, 2005)
5
SPC with QS
6
Kurozumi with Bartlett
7
Kurozumi with QS
- Returns
Nkpss (Scalar) – KPSS statistic with common factor for each cross-section.
FZK (Scalar) – Panel stationarity statistic with N(0,1).
pval (Scalar) – p-value of FZk.
Examples¶
new;
cls;
library tspdlib;
// Load date file
y = loadd(getGAUSSHome() $+ "pkgs/tspdlib/examples/pd_full.csv", "Y1 + Y2 + Y3 + Y4 + Y5 + Y6 + Y7 + Y8 + Y9 + Y10 + Y11 + Y12 + Y13 + Y14 + Y15 + Y16 + Y17 + Y18 + Y19 + Y20 + Y21 + Y22 + Y23 + Y24 + date($Date, '%b-%y')");
// Panel stationarity test with level shifts
model = 1;
{ Nkpss, FZk, pval } = PDfzk(y, model, 4);