[R] panel data unit root tests

[jukka ruohonen]

Hi,

The question is as follows: has anyone coded panel data unit root tests 
with R? Even the "first generation" tests (see e.g. Levin & Lin 1993; 
Pesaran, & Smith & Im 1996; Maddala & Wu 1999) would be sufficient for my 
needs. To my understanding, these are rather easy to code, but as I have 
taken just my first steps in coding with R, existing code would save me 
from a lot of trouble & time.


With regards,

Jukka Ruohonen
University of Helsinki


References:

Levin, A. & Lin, C.F. (1993): Unit Root Tests in Panel Data. 
ftp://weber.ucsd.edu/pub/econlib/dpapers/ucsd9356.pdf

Maddala, G.S. & Wu, S. (1999): A Comparative Study of Unit Roots Tests with 
Panel Data and a New Simple Test. Oxford Bulleting of Economics and 
Statistics. Special Issue 61, 631-652.

Pesaran, M.H. & Smith, R. & Im, K.S. (1996): Dynamic Linear Models for 
Heterogenous Panels. In: Matyas, L. & Sevestre, P. (eds.): The Econometrics 
of Panel Data: a Handbook of the Theory with Applications, second edition, 
pp. 145-195.