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

See also

Functions pd_kpss(),