[R] panel data unit root tests

[jukka ruohonen]

Thanks, that will certainly do the trick. I came across systemfit and sem -
packages that are useful in this respect as well.

Jukka Ruohonen
University of Helsinki


> 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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