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Panel-CADF Testing with R: Panel Unit Root Tests Made Easy

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  • Lupi, Claudio

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Abstract

This 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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File URL: http://web.unimol.it/progetti/repec/mol/ecsdps/ESDP11063.pdf
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Bibliographic Info

Paper provided by University of Molise, Dept. EGSeI in its series Economics & Statistics Discussion Papers with number esdp11063.

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Length: 19
Date of creation: 29 Dec 2011
Date of revision:
Handle: RePEc:mol:ecsdps:esdp11063

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Keywords: panel data; unit root; R;

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References

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  1. Pasaran, M.H. & Im, K.S. & Shin, Y., 1995. "Testing for Unit Roots in Heterogeneous Panels," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge 9526, Faculty of Economics, University of Cambridge.
  2. Brunello, Giorgio & Lupi, Claudio & Ordine, Patrizia, 2000. "Regional Disparities and the Italian NAIRU," Oxford Economic Papers, Oxford University Press, vol. 52(1), pages 146-77, January.
  3. Hansen, Bruce E., 1995. "Rethinking the Univariate Approach to Unit Root Testing: Using Covariates to Increase Power," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 11(05), pages 1148-1171, October.
  4. Matei Demetrescu & Uwe Hassler & Adina-Ioana Tarcolea, 2006. "Combining Significance of Correlated Statistics with Application to Panel Data," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, Department of Economics, University of Oxford, vol. 68(5), pages 647-663, October.
  5. Mauro Costantini & Claudio Lupi, 2013. "A Simple Panel-CADF Test for Unit Roots," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, Department of Economics, University of Oxford, vol. 75(2), pages 276-296, 04.
  6. Levin, Andrew & Lin, Chien-Fu & James Chu, Chia-Shang, 2002. "Unit root tests in panel data: asymptotic and finite-sample properties," Journal of Econometrics, Elsevier, Elsevier, vol. 108(1), pages 1-24, May.
  7. Claudio Lupi, . "Unit Root CADF Testing with R," Journal of Statistical Software, American Statistical Association, American Statistical Association, vol. 32(i02).
  8. Achim Zeileis & Roger Koenker, . "Econometrics in R: Past, Present, and Future," Journal of Statistical Software, American Statistical Association, American Statistical Association, vol. 27(i01).
  9. Yves Croissant & Giovanni Millo, . "Panel Data Econometrics in R: The plm Package," Journal of Statistical Software, American Statistical Association, American Statistical Association, vol. 27(i02).
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Cited by:
  1. Claudiu Tiberiu Albulescu & Dominique Pepin & Aviral Kumar Tiwari, 2014. "A RE-EXAMINATION OF REAL INTEREST PARITY IN CEECs USING OLD AND NEW GENERATIONS OF PANEL UNIT ROOT TESTS," Working Papers, HAL hal-00959475, HAL.
  2. Sani Ibrahim, Mr. Saifullahi & Muhammad, Mr. Abubakar, 2013. "Information and Communication Technology and Bank Performance in Nigeria: A Panel Data Analysis," MPRA Paper 49062, University Library of Munich, Germany.
  3. João Sousa Andrade & Marta Simões & Adelaide Duarte, 2013. "Despesa Pública em Educação e Saúde e Crescimento Económico: Um Contributo para o Debate sobre as Funções Sociais do Estado," GEMF Working Papers, GEMF - Faculdade de Economia, Universidade de Coimbra 2013-18, GEMF - Faculdade de Economia, Universidade de Coimbra.

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