Displaying 1 result from an estimated 1 matches for "levinlin".
2006 Jan 06
2
panel data unit root tests
...<- length(y)/id.l
if (lag > yid.l -2)
stop("\nlag too long for defined cross-sections.\n")
#for (i in id) {
lagy <- y[2:yid.l]
lagy.em <- embed(lagy, lags)
id.l <- length(id)
dy <- diff(y)[1:yid.l-1]
dy.em <- embed(dy, lags)
# }
print(levinlin(ws, year, id, lags = 3))
Couldn't figure the loop over units out but with N = 1 the data
transformation seemed to work just fine. Now we should pool the new
variables within the panel and regress y over yt-1 and dy-t1 +....+ dy-t-j
with, say, BIC doing the job for d's (H0: y-1 ~ 0) for...