R devel - Jan 2009 - "Panel Data Unit Root tests"

I could not find a package to run panel data unit root tests in R (there's a
STATA module, though - PANELUNIT- and routines for Sarno and Taylor's MADF
test, Levin-Lin-Chu's test, Im-Pesaran-Shin's Test, etc, to do this).

Hence, I am toying with the idea of having a go at writing up one for R, but
would like to know whether anyone is already working on this.

 

José

 

 

 

Mr José Luis Iparraguirre

Senior Research Economist

Economic Research Institute of Northern Ireland

2 -14 East Bridge Street

Belfast BT1 3NQ

Northern Ireland

United Kingdom

 

Tel: +44 (0)28 9072 7365

 


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Jose,

this is not the list for asking questions like this. You should ask on 
R-help or (alternatively!) R-SIG-Finance would be a good place to ask.
> I could not find a package to run panel data unit root tests in R 
> (there's a STATA module, though - PANELUNIT- and routines for Sarno and
> Taylor's MADF test, Levin-Lin-Chu's test, Im-Pesaran-Shin's
Test, etc,
> to do this).
>
> Hence, I am toying with the idea of having a go at writing up one for R, 
> but would like to know whether anyone is already working on this.
I think that there's currently no package for this on CRAN but I might be 
wrong. But there's a chance that someone on the SIG has code for this...

Best,
Z