pdfzk

Purpose

Computes the panel stationary test with flexible Fourier form structural breaks.

Format

{ Nkpss, Fzk, pval } = pdfzk(y, model, k[, varm])

Parameters:

• y (NxT matrix) – Panel data to be tested.

• model (Scalar) –

  Model to be implemented.

  1	Level shift model.
  2	Level and trend shift model.

• 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

Returns:

• Nkpss (Scalar) – KPSS statistic with common factor for each cross-section.

• FZK (Scalar) – Panel stationarity statistic with N(0,1).

• pval (Scalar) – p-value of FZk.

Examples

library tspdlib;

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

// Panel stationarity test with level shifts
model = 1;
{ Nkpss, FZk, pval } = PDfzk(y, model, 4);

Source

pd_nkarul.src

See also

Functions pdlm(), pd_kpss()