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iconlib
2005 Oct 07
3
panel data unit root tests
...er 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
Heterog...