[R-SIG-Finance] Panel Data Unit Root tests

[Adams, Zeno]

Note that the Levin-Lin and the IPS test belong to the group of first generation panel unit root tests which do not control for cross-sectional correlation.

A very simple, yet powerful second generation test has been proposed by Hanck(2008), www.statistik.tu-dortmund.de/fileadmin/user_upload/Lehrstuehle/MSind/SFB_475/2008 . As it builds upon comparing the p-values of single time series unit root tests it is also easy to implement with only a few lines of code.


-----Ursprüngliche Nachricht-----
Von: r-sig-finance-bounces at stat.math.ethz.ch [mailto:r-sig-finance-bounces at stat.math.ethz.ch] Im Auftrag von Jose Iparraguirre D'Elia
Gesendet: Montag, 2. Februar 2009 23:17
An: r-sig-finance at stat.math.ethz.ch
Betreff: [R-SIG-Finance] Panel Data Unit Root tests


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.

José 

José Luis Iparraguirre
Senior Research Economist
Economic Research Institute of Northern Ireland
2 -14 East Bridge Street
Belfast BT1 3NQ 
Northern Ireland
United Kingdom

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