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);

Source

pd_nkarul.src

See also

Functions pdlm()