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

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

Reference(s):

Usage: (output)=panunit(z,m,p,d,T)
Input:
z Data NT x {2+} k matrix
m position of the variable to be tested scalar
p Lagged differences to be included scalar
d =0 for no deterministics, =1 for a constant, =2 for trend scalar
T Common number of time periods for balanced panel scalar
Output:
output table string

Note:

Example:
panunit(z,1,0,1,25)
Result:

[ 1,] "====================================================="
[ 2,] "Pooled Dickey-Fuller Regression:  2'th variable      "
[ 3,] "====================================================="
[ 4,] "PARAMETERS        Estimate     robust SE      t-value"
[ 5,] "====================================================="
[ 6,] "Lag[1]=             0.0091       0.0083         1.092"
[ 7,] "const=              0.1354       0.0827         1.637"
[ 8,] "====================================================="
[ 9,] "N*T=    250      N=   10           With constant     "
[10,] "Unit root statistics:                                "
[11,] "STATISTIC      Value  crit. Value (5%)  mean variance"
[12,] "====================================================="
[13,] "B/M (1994)      0.836     -1.65       0.000     1.000"
[14,] "L/L (1993)     -1.862     -1.65      -0.557     0.840"
[15,] "mod. L/L        0.891     -1.65       0.000     1.000"
[16,] "I/P/S (1997)   -1.198     -1.65      -1.526     0.839"
[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, 28.6.1999