pIGF {pdR}

Panel unit root test of Chang(2002)

Description

Compute the panel unit root test statistic of Chang(2002).

Usage

pIGF(datamat, maxp, ic, spec)

Arguments

datamat

T by N panel data.T is the time length,N is the number of cross-section units.

maxp

the max number of lags

ic

Information criteria, either "AIC" or "BIC".

spec

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

Details

This function estimates the panel unit root test based on univariate instrument generating function of (Chang,2002).

Value

panel.tstat

panel IGF test statistics

pvalue

P-value of the panel.tstat

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)
datam <- inf19
pIGF(datam,maxp=25,ic="BIC",spec=2)