ips#

Purpose#

Panel series unit root testing. This test uses the sample mean of the t-statistics across all individual series within a panel of time series variables.

Format#

{ zstat, pcrit } = ips(y, trend, demean, lags[, printOut])#

Parameters:

y (TxM matrix) – panel data.
trend (scalar) – Indicator variable for including trend. 0 = no trend, 1 = trend.
demean (scalar) – Indicator variable for demeaning variable. 0 = no demeaning, 1 = demean data.
lags (scalar) – Number of lags to include in the test.
printOut (scalar) – Optional argument, indicator variable for printing results. 0 = no printing, 1 = print.

Returns:

zstat (scalar) – IPS test statistic.
pcrit (vector) – Critical values for unit root test at the 1%, 2.5%, 5%, and 10% significance level.

Example#

new;
cls;
library tsmt;

// First load data
data = loadd( getGAUSSHome() $+ "pkgs/tsmt/examples/panel_g.csv");

// Take log of data
log_yt = log(yt[., 2:9]);

// Input the lags used in Enders, Table 4.8
lags = { 5, 6, 3, 1, 3, 1, 1, 3 };

// No demeaning
demean = 0;

// Include trend
trend = 1;

//  Run IPS test without a trend and without demeaning
print "The IPS test statistic using unmeaned data:";
{ z_1, p_crit1 } = ips(log_yt, trend, demean, lags);

The results are printed to screen:

The IPS test statistic using unmeaned data:
ips: ADF tests uses individual lag specification for each series
  Individual t-stats:

     -2.07
     -2.04
     -2.94
     -3.06
     -1.75
     -1.95
     -2.94
     -2.57
Average t-stat:
     -2.41
The adjusted z-stat is:
     -2.92
The critical values are:
     -2.51
     -2.61
     -2.72

Library#

tsmt

Source#

ips.src