plm (version 1.4-0)

cipstest: Cross-sectionally Augmented IPS Test for Unit Roots in Panel Models

Description

Cross-sectionally augmented Im, Pesaran and Shin test for unit roots in panel models.

Usage

cipstest(x, lags = 2, type=c("trend", "drift", "none"),
      model = c("cmg","mg","dmg"), truncated=FALSE, ...)

Arguments

x

an object of class "pseries",

lags

lag order for Dickey-Fuller augmentation,

type

one of c("trend", "drift", "none"),

model

one of c("cmg","mg","dmg"),

truncated

logical specifying whether to calculate the truncated version of the test,

...

further arguments passed to critvals.

Value

• An object of class "htest".

Details

This cross-sectionally augmented version of the IPS unit root test (H0: the pseries has a unit root) is a so-called second-generation panel unit root test: it is in fact robust against cross-sectional dependence, provided that the default type="cmg" is calculated. Else one can obtain the standard (model="mg") or cross-sectionally demeaned (model="dmg") versions of the IPS test.

References

Pesaran, M.H. (2007) A simple panel unit root test in the presence of cross-section dependence, Journal of Applied Econometrics, 22(2), 265--312.

See Also

purtest

Examples

data("Produc", package = "plm")
Produc <- pdata.frame(Produc, index=c("state","year"))
## check whether the log of GDP is trend-stationary
cipstest(Produc$gsp, type="trend")