[R] panel data unit root tests

[Spencer Graves]

	  Have you received a reply?  I haven't seen one.  RSiteSearch("panel 
data unit root test") produced another question on this but no answers 
that I saw.  RSiteSearch("unit root test") produced 75 hits with many 
useful.  RSiteSearch("panel data analysis") produced 75 hits, the first 
of which suggested the nlme package 
(http://finzi.psych.upenn.edu/R/Rhelp02a/archive/26962.html).  You could 
construct nested models to compare the corAR1 correlation structure with 
first differences.

	  hope this helps.
	  spencer graves

jukka ruohonen wrote:

> 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.
> 
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