======
htTest
======

10.0.25htTest
=============

Purpose
-------
Perform the Harris–Tzavalis panel series unit root testing. The z
   statistics constructed from the mean t-statistic has an asymptotic
   standardized normal distribution and tests the null hypothesis that
   all series are I(1) against the alternative that all series are I(0).

Library
-------
tsmt

Format
------
{Z, z_infinite_t} = htTest(y, model);

Input
-----
+-------+-------------------------------------------------------------+
   | y     | TxM matrix, data, M > 5.                                    |
   +-------+-------------------------------------------------------------+
   | model | Scalar, indicates which test to run: 1 for homogenous no    |
   |       | mean, 2 for heterogenous, fixed effect, 3 heterogenous,     |
   |       | fixed effect and time trend.                                |
   +-------+-------------------------------------------------------------+

Output
------
============ ========================
   Z            Small, t test statistic.
   Z_infinite_t Large, t test statistic.
   ============ ========================

Example
-------
::

new;
cls;
library tsmt;

// Load cobb douglas production function data set
y = loadd( getGAUSSHome() $+ "pkgs/tsmt/examples/production_cobb.dat");

// Run test using model one for data with no mean
{ z , zInf } = htTest(y , 1 );

// Run HT test for model two for data with fixed effects
{ z, zInf } = htTest(y , 2);

// Run HT test for model three for data with fixed effects
// and time trend
{ z, zInf } = htTest(y , 3);

Source
------
htTest.src