pd_stationary¶

Purpose¶

Computes panel data stationarity tests.

Format¶

{ Nkpss, W, P, Pm, Z } = pd_stationary(y[, model, test, varm, bwl, fmax, ICk])¶

Parameters:

y (TxN matrix) – Wide format panel data.
model (Scalar) –
Optional, model to be implemented.

1

Constant.

2

Constant and trend.
test – Optional, specifies type of panel stationarity test to run.
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.
bwl (Scalar) – Optional, bandwidth for the spectral window. Default = round(4 * (T/100)^(2/9)).
fmax (Scalar) – Optional, maximum number of single Fourier frequency (upper bound is 5). Default = 5.
ICk –
Optional, Information Criterion for optimal number of factors. Default = 1.

1

PCp criterion.

2

ICp criterion.

Returns:

Nkpss (Dataframe) – Contains the KPSS statistics for each cross-section and the corresponding p-values.
W (Dataframe) – Panel stationarity statistic by Hadri (2000) and the corresponding p-value.
P (Dataframe) – Panel stationarity statistic by Yin & Wu (2001) and the corresponding p-value.
Pm (Dataframe) – Panel stationarity statistic by Nazlioglu et al. (2021) and the corresponding p-value.
Z (Dataframe) – Panel stationarity statistic by Nazlioglu et al. (2021) and the corresponding p-value.

Examples¶

Standard tests¶

library tspdlib;

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

/*
** Classical panel stationarity test
*/
// With constant
model = 1;
{ Nkpss, W, P, Pm, Z} = pd_stationary(y, model);

// With constant and trend
model = 2;
{ Nkpss, W, P, Pm, Z} = pd_stationary(y, model);

Cross-section approach panel stationarity test¶

library tspdlib;

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

/*
** Cross-section approach panel stationarity test
*/

// Set test
test = "ca";

// With constant
model = 1;

{ Nkpss, W, P, Pm, Z} = pd_stationary(y, model, test);

Source¶

pd_pst.src

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.

1	Constant.
2	Constant and trend.

1	PCp criterion.
2	ICp criterion.