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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