Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Library: metrics
See also: panfix panrand pandyn

Quantlet: panunit
Description: Computes unit root statistics for panel data

Reference(s):

Usage: (output)=panunit(z,m,p,d, {T})
Input:
z NT x {2+} k data matrix
m position of the variable to be tested (don't count the time and cross section index)
p Number of Lagged differences
d =0 for no deterministics, =1 for a constant, =2 for trend Number of time periods for a BALANCED Dataset. Optional, only for a Dataset with the same T for all Individuals = BALANCED PANEL
Output:
output string with output table

Note:

Example:

library("metrics")

z=read("dynpanel")

panunit(z,2,1,1)						panunit(z,2,0,1)

Result:



[ 1,] "====================================================="

[ 2,] "Pooled Dickey-Fuller Regression:  2'th variable      "

[ 3,] "====================================================="

[ 4,] "PARAMETERS        Estimate     robust SE      t-value"

[ 5,] "====================================================="

[ 6,] "Lag[1]=            -0.0822       0.0171        -4.819"

[ 7,] "const=              0.0248       0.0758         0.327"

[ 8,] "====================================================="

[ 9,] "N*T=    378      N=   16           With constant     "

[10,] "Unit root statistics:                                "

[11,] "STATISTIC      Value  crit. Value (5%)  mean variance"

[12,] "====================================================="

[13,] "B/M (1994)     -2.319     -1.65       0.000     1.000"

[14,] "L/L (1993)     -0.794     -1.65      -0.559     0.850"

[15,] "mod. L/L       -1.501     -1.65       0.000     1.000"

[16,] "I/P/S (1997)   -1.425     -1.65      -1.526     0.713"

[17,] "====================================================="


Library: metrics
See also: panfix panrand pandyn

Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Author: Joerg Breitung
(C) MD*TECH Method and Data Technologies, 21.9.2000