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.