dcce (version 0.4.2)

panel_ur_test: IPS and LLC Panel Unit Root Tests

Description

Implements the Im, Pesaran & Shin (2003) IPS t-bar test and the Levin, Lin & Chu (2002) LLC common-root test for panel unit roots. Neither test corrects for cross-sectional dependence — use cips_test for CSD-robust testing.

Usage

panel_ur_test(x, ...)
# S3 method for matrix
panel_ur_test(x, ..., test = c("ips", "llc"), lags = 0L, trend = FALSE)
# S3 method for default
panel_ur_test(
  x,
  ...,
  data = NULL,
  unit_index = NULL,
  time_index = NULL,
  test = c("ips", "llc"),
  lags = 0L,
  trend = FALSE
)

Value

An object of class dcce_unit_root with elements test, statistic, p_value, N, T, lags, trend.

Arguments

x

A numeric matrix (N x T), data.frame, or vector.

...

Additional arguments.

test

Character: "ips" or "llc".

lags

Integer: ADF lag order. Default 0.

trend

Logical: include a time trend. Default FALSE.

data, unit_index, time_index

Panel structure (when x is a vector).

Details

IPS: fits unit-level ADF regressions, averages the t-statistics, and standardises using tabulated moments from Im et al. (2003, Table 2).

LLC: fits unit-level ADF regressions, extracts the t-statistic from a pooled regression of adjusted \(\Delta y\) on adjusted \(y_{t-1}\), standardised to N(0,1).

References

Im, K. S., Pesaran, M. H., & Shin, Y. (2003). Testing for unit roots in heterogeneous panels. Journal of Econometrics, 115(1), 53--74.

Levin, A., Lin, C.-F., & Chu, C.-S. J. (2002). Unit root tests in panel data: asymptotic and finite-sample properties. Journal of Econometrics, 108(1), 1--24.

Examples

set.seed(1)
X <- matrix(cumsum(rnorm(20 * 30)), 20, 30)
panel_ur_test(X, test = "ips")
panel_ur_test(X, test = "llc")