pdlm#

Purpose#

Computes panel data LM tests with 0, 1, or 2 breaks in the level or level and trend.

Format#

{ Nlm, Ntb, Np, PD_lm, cvPDLM } = PDLM(y, model[, nbreak, pmax, ic, trimm])#

Parameters:

y (Nx1 matrix) – Time series data to be tested.
model (Scalar) –
Model to be implemented. Default = 0.

1

Level break model.

2

Level and trend break model.
nbreak (Scalar) –
Optional, number of breaks.

0

No break test.

1

One break test.

2

Two break tests.

Default = 0.
pmax (Scalar) – Optional, maximum number of lags. Default = 8.
ic (Scalar) –
Optional, the information criterion used for choosing lags. Default = 3.

1

Akaike.

2

Schwarz.

3

t-stat significance.
trimm (Scalar) – Optional, trimming rate. Default = 0.10.

Returns:

Nlm (Vector) – Minimum test statistic for each cross-section.
Ntb (Vector) – Location of break(s) for each cross-section.
Np (Vector) – Number of lags selected by choosen information criterion for each cross-section.
PD_lm (Scalar) – Panel LM statistic with N(0,1).
pval (Scalar) – P-value of the panel LM statistic.

Examples#

library tspdlib;

// Load date file
y = loadd(getGAUSSHome() $+ "pkgs/tspdlib/examples/pd_full.csv",
                              ". + date($Date, '%b-%y')");

// Run panel LM test with level shifts
// No breaks
model = 1;

// No breaks
{ Nlm, Ntb, Np, PD_lm, pval } = PDLM(y, model);

Source#

pd_iltlevel.src

1	Level break model.
2	Level and trend break model.

0	No break test.
1	One break test.
2	Two break tests.

1	Akaike.
2	Schwarz.
3	t-stat significance.