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:
library("metrics")
z=read("dynpanel")
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, 17.8.2000