Panel-CADF Testing with R: Panel Unit Root Tests Made Easy
AbstractThis paper presents the R implementation of the panel covariate augmented Dickey-Fuller (panel-CADF) test proposed in Costantini and Lupi (2011), as well as the implementation of the tests advocated in Choi (2001) and Demetrescu, Hassler, and Tarcolea (2006). A panel-CADF extension of the test suggested in Hanck (2008) is also discussed and its size and power properties are investigated via Monte Carlo analysis. The simulation results show that the panel-CADF tests have interesting properties in terms of size and power. The R implementation illustrated here is part of the ongoing work on a new R package named punitroots (Kleiber and Lupi 2011).
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Bibliographic InfoPaper provided by University of Molise, Dept. EGSeI in its series Economics & Statistics Discussion Papers with number esdp11063.
Date of creation: 29 Dec 2011
Date of revision:
panel data; unit root; R;
Find related papers by JEL classification:
- C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-01-10 (All new papers)
- NEP-ECM-2012-01-10 (Econometrics)
- NEP-ETS-2012-01-10 (Econometric Time Series)
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