[Rd] "Panel Data Unit Root tests"

Achim Zeileis Achim.Zeileis at wu-wien.ac.at
Fri Jan 30 13:28:48 CET 2009


this is not the list for asking questions like this. You should ask on 
R-help or (alternatively!) R-SIG-Finance would be a good place to ask.

> I could not find a package to run panel data unit root tests in R 
> (there's a STATA module, though - PANELUNIT- and routines for Sarno and 
> Taylor's MADF test, Levin-Lin-Chu's test, Im-Pesaran-Shin's Test, etc, 
> to do this).
> Hence, I am toying with the idea of having a go at writing up one for R, 
> but would like to know whether anyone is already working on this.

I think that there's currently no package for this on CRAN but I might be 
wrong. But there's a chance that someone on the SIG has code for this...


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