Hi, The question is as follows: has anyone coded panel data unit root tests with R? Even the "first generation" tests (see e.g. Levin & Lin 1993; Pesaran, & Smith & Im 1996; Maddala & Wu 1999) would be sufficient for my needs. To my understanding, these are rather easy to code, but as I have taken just my first steps in coding with R, existing code would save me from a lot of trouble & time. With regards, Jukka Ruohonen University of Helsinki References: Levin, A. & Lin, C.F. (1993): Unit Root Tests in Panel Data. ftp://weber.ucsd.edu/pub/econlib/dpapers/ucsd9356.pdf Maddala, G.S. & Wu, S. (1999): A Comparative Study of Unit Roots Tests with Panel Data and a New Simple Test. Oxford Bulleting of Economics and Statistics. Special Issue 61, 631-652. Pesaran, M.H. & Smith, R. & Im, K.S. (1996): Dynamic Linear Models for Heterogenous Panels. In: Matyas, L. & Sevestre, P. (eds.): The Econometrics of Panel Data: a Handbook of the Theory with Applications, second edition, pp. 145-195.
Have you received a reply? I haven't seen one. RSiteSearch("panel
data unit root test") produced another question on this but no answers
that I saw. RSiteSearch("unit root test") produced 75 hits with many
useful. RSiteSearch("panel data analysis") produced 75 hits, the
first
of which suggested the nlme package
(http://finzi.psych.upenn.edu/R/Rhelp02a/archive/26962.html). You could
construct nested models to compare the corAR1 correlation structure with
first differences.
hope this helps.
spencer graves
jukka ruohonen wrote:
> Hi,
>
> The question is as follows: has anyone coded panel data unit root tests
> with R? Even the "first generation" tests (see e.g. Levin &
Lin 1993;
> Pesaran, & Smith & Im 1996; Maddala & Wu 1999) would be
sufficient for my
> needs. To my understanding, these are rather easy to code, but as I have
> taken just my first steps in coding with R, existing code would save me
> from a lot of trouble & time.
>
>
> With regards,
>
> Jukka Ruohonen
> University of Helsinki
>
>
> References:
>
> Levin, A. & Lin, C.F. (1993): Unit Root Tests in Panel Data.
> ftp://weber.ucsd.edu/pub/econlib/dpapers/ucsd9356.pdf
>
> Maddala, G.S. & Wu, S. (1999): A Comparative Study of Unit Roots Tests
with
> Panel Data and a New Simple Test. Oxford Bulleting of Economics and
> Statistics. Special Issue 61, 631-652.
>
> Pesaran, M.H. & Smith, R. & Im, K.S. (1996): Dynamic Linear Models
for
> Heterogenous Panels. In: Matyas, L. & Sevestre, P. (eds.): The
Econometrics
> of Panel Data: a Handbook of the Theory with Applications, second edition,
> pp. 145-195.
>
> ______________________________________________
> R-help at stat.math.ethz.ch mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide!
http://www.R-project.org/posting-guide.html
--
Spencer Graves, PhD
Senior Development Engineer
PDF Solutions, Inc.
333 West San Carlos Street Suite 700
San Jose, CA 95110, USA
spencer.graves at pdf.com
www.pdf.com <http://www.pdf.com>
Tel: 408-938-4420
Fax: 408-280-7915
Thanks, that will certainly do the trick. I came across systemfit and sem - packages that are useful in this respect as well. Jukka Ruohonen University of Helsinki> Have you received a reply? I haven't seen one. RSiteSearch("panel > data unit root test") produced another question on this but no answers > that I saw. RSiteSearch("unit root test") produced 75 hits with many > useful. RSiteSearch("panel data analysis") produced 75 hits, the first > of which suggested the nlme package > (http://finzi.psych.upenn.edu/R/Rhelp02a/archive/26962.html). You could > construct nested models to compare the corAR1 correlation structure with > first differences. > > hope this helps. > spencer graves > > jukka ruohonen wrote: > > > Hi, > > > > The question is as follows: has anyone coded panel data unit root tests > > > with R? Even the "first generation" tests (see e.g. Levin & Lin 1993; > > Pesaran, & Smith & Im 1996; Maddala & Wu 1999) would be sufficient for > > my needs. To my understanding, these are rather easy to code, but as I > > have taken just my first steps in coding with R, existing code would > > save me from a lot of trouble & time. > > > > > > With regards, > > > > Jukka Ruohonen > > University of Helsinki > > > > > > References: > > > > Levin, A. & Lin, C.F. (1993): Unit Root Tests in Panel Data. > > ftp://weber.ucsd.edu/pub/econlib/dpapers/ucsd9356.pdf > > > > Maddala, G.S. & Wu, S. (1999): A Comparative Study of Unit Roots Tests > with > > Panel Data and a New Simple Test. Oxford Bulleting of Economics and > > Statistics. Special Issue 61, 631-652. > > > > Pesaran, M.H. & Smith, R. & Im, K.S. (1996): Dynamic Linear Models for > > > Heterogenous Panels. In: Matyas, L. & Sevestre, P. (eds.): The > Econometrics > > of Panel Data: a Handbook of the Theory with Applications, second > edition, > > pp. 145-195. > > > > ______________________________________________ > > R-help at stat.math.ethz.ch mailing list > > https://stat.ethz.ch/mailman/listinfo/r-help > > PLEASE do read the posting guide! > http://www.R-project.org/posting-guide.html > > -- > Spencer Graves, PhD > Senior Development Engineer > PDF Solutions, Inc. > 333 West San Carlos Street Suite 700 > San Jose, CA 95110, USA > > spencer.graves at pdf.com > www.pdf.com <http://www.pdf.com> > Tel: 408-938-4420 > Fax: 408-280-7915
Thanks, that will certainly do the trick. I came across systemfit and sem - packages that are useful in this respect as well. Jukka Ruohonen University of Helsinki> Have you received a reply? I haven't seen one. RSiteSearch("panel > data unit root test") produced another question on this but no answers > that I saw. RSiteSearch("unit root test") produced 75 hits with many > useful. RSiteSearch("panel data analysis") produced 75 hits, the first > of which suggested the nlme package > (http://finzi.psych.upenn.edu/R/Rhelp02a/archive/26962.html). You could > construct nested models to compare the corAR1 correlation structure with > first differences. > > hope this helps. > spencer graves > > jukka ruohonen wrote: > > > Hi, > > > > The question is as follows: has anyone coded panel data unit root tests > > > with R? Even the "first generation" tests (see e.g. Levin & Lin 1993; > > Pesaran, & Smith & Im 1996; Maddala & Wu 1999) would be sufficient for > > my needs. To my understanding, these are rather easy to code, but as I > > have taken just my first steps in coding with R, existing code would > > save me from a lot of trouble & time. > > > > > > With regards, > > > > Jukka Ruohonen > > University of Helsinki > > > > > > References: > > > > Levin, A. & Lin, C.F. (1993): Unit Root Tests in Panel Data. > > ftp://weber.ucsd.edu/pub/econlib/dpapers/ucsd9356.pdf > > > > Maddala, G.S. & Wu, S. (1999): A Comparative Study of Unit Roots Tests > with > > Panel Data and a New Simple Test. Oxford Bulleting of Economics and > > Statistics. Special Issue 61, 631-652. > > > > Pesaran, M.H. & Smith, R. & Im, K.S. (1996): Dynamic Linear Models for > > > Heterogenous Panels. In: Matyas, L. & Sevestre, P. (eds.): The > Econometrics > > of Panel Data: a Handbook of the Theory with Applications, second > edition, > > pp. 145-195. > > > > ______________________________________________ > > R-help at stat.math.ethz.ch mailing list > > https://stat.ethz.ch/mailman/listinfo/r-help > > PLEASE do read the posting guide! > http://www.R-project.org/posting-guide.html > > -- > Spencer Graves, PhD > Senior Development Engineer > PDF Solutions, Inc. > 333 West San Carlos Street Suite 700 > San Jose, CA 95110, USA > > spencer.graves at pdf.com > www.pdf.com <http://www.pdf.com> > Tel: 408-938-4420 > Fax: 408-280-7915