R: Cross-sectionally Augmented IPS Test for Unit Roots in Panel...

cipstest {plm}

R Documentation

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`.

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.

Value

An object of class "htest".

Author(s)

Giovanni Millo

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.

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")

[Package plm version 1.2-10 Index]