Compute the panel unit root test statistic of Chang(2002).
pIGF(datamat, maxp, ic, spec)panel IGF test statistics
P-value of the panel.tstat
T by N panel data.T is the time length,N is the number of cross-section units.
the max number of lags
Information criteria, either "AIC" or "BIC".
model specification.
=0, no intercept and trend.
=1, intercept only.
=2, intercept and trend.
Ho Tsung-wu <tsungwu@ntnu.edu.tw>, College of Management, National Taiwan Normal University.
This function estimates the panel unit root test based on univariate instrument generating function of (Chang,2002).
Chang,Y.(2002) Nonlinear IV Unit Root Tests in Panels with Cross-Sectional Dependency. Journal of Econometrics, 110, 261-292.
data(inf19)
datam <- inf19
pIGF(datam,maxp=25,ic="BIC",spec=2)
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