cipstest {plm}

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

Description

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

Usage

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

Arguments

x

an object of class "pseries",

lags

integer, lag order for Dickey-Fuller augmentation,

type

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

model

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

truncated

logical, specifying whether to calculate the truncated version of the test (default: FALSE),

...

further arguments passed to critvals.cips (non-exported function).

Details

Pesaran's (Pesaran 2007) cross-sectionally augmented version of the IPS unit root test (Im et al. 2003) (H0: 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 model="cmg" is calculated. Else one can obtain the standard (model="mg") or cross-sectionally demeaned (model="dmg") versions of the IPS test.

Argument type controls how the test is executed:

• "none": no intercept, no trend (Case I in (Pesaran 2007)),

• "drift": with intercept, no trend (Case II),

• "trend" (default): with intercept, with trend (Case III).

Value

An object of class "htest".

Author(s)

Giovanni Millo

References

Im KS, Pesaran MH, Shin Y (2003). “Testing for unit roots in heterogenous panels.” Journal of Econometrics, 115(1), 53-74.

Pesaran MH (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(), phansitest()

Examples

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