IGF {pdR}

Unit root test based on Change(2002)

Description

This function estimates the unit root regression based on instrument generating function of Change(2002) and returns useful outputs.

Usage

IGF(y, maxp, ic, spec)

Arguments

y

A univariate time series data

maxp

the max number of lags

ic

Information criteria, either "AIC" or "BIC"

spec

regression model specification.
=0, no intercept and trend.
=1, intercept only.
=2, intercept and trend.

Details

Estimate univariate unit root test of Chang(2002).

Value

tstat.IGF

IGF unit root test

beta

regression coefficients. The first one is the AR(1) coefficient of unit root, and the last one is the intercept or trend

sdev

The IGF standard error for unit root coefficient

cV

The scalar C in IGF equation

p

The optimal number of lag

Author(s)

Ho Tsung-wu <[e-mail]>, College of Management, National Taiwan Normal University.

References

Chang, Y. (2002) Nonlinear IV Unit Root Tests in Panels with Cross-Sectional Dependency. Journal of Econometrics, 110, 261-292.

Examples

data(inf19)
y <- inf19[,1]
IGF(y,maxp=35,ic="BIC",spec=2)$tstat.IGF