pdfzk#

Purpose#

Computes the panel stationary test with flexible Fourier form structural breaks.

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#

library tspdlib;

// Load date file
y = loadd(getGAUSSHome() $+ "pkgs/tspdlib/examples/pd_full.csv",
                              ". + date($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(), pd_kpss()

On this page