This paper presents the R implementation of the panel covariate augmented Dickey- Fuller (panel-CADF) test proposed in Costantini and Lupi (2011), as well as the implementation of the tests advocated in Choi (2001) and Demetrescu, Hassler, and Tarcolea (2006). A panel-CADF extension of the test suggested in Hanck (2008) is also discussed and its size and power properties are investigated via Monte Carlo analysis. The simulation results show that the panel-CADF tests have interesting properties in terms of size and power. The R implementation illustrated here is part of the ongoing work on a new R package named punitroots (Kleiber and Lupi 2011).
Panel-CADF Testing with R: Panel Unit Root Tests Made Easy
LUPI, Claudio
2011-01-01
Abstract
This paper presents the R implementation of the panel covariate augmented Dickey- Fuller (panel-CADF) test proposed in Costantini and Lupi (2011), as well as the implementation of the tests advocated in Choi (2001) and Demetrescu, Hassler, and Tarcolea (2006). A panel-CADF extension of the test suggested in Hanck (2008) is also discussed and its size and power properties are investigated via Monte Carlo analysis. The simulation results show that the panel-CADF tests have interesting properties in terms of size and power. The R implementation illustrated here is part of the ongoing work on a new R package named punitroots (Kleiber and Lupi 2011).I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
