search for: pesaran

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 Univers...

Whether can any R package run Full modified OLS (Phillips and Hansen 1990 ), DOLS (Stock and Watson 1993) and ADL model (Pesaran and Shin 2001) for cointegrated VAR model? I cannot find any useful order in VAR and SVAR package. Thanks. Eric Wang [[alternative HTML version deleted]]

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...

Dear all, Does anyone know where there is R or S code for the CUSUM SQUARED structural breaks approach? (Brown, Durban and Evans, 1975 - used in Pesaran and Timmerman, 2002) The problem is that the breaks package only appears to offer the standard 'unsquared' CUSUM, even though it appears most think it is inferior to the squared version. It might appear to be a relatively simple problem - just use the recursive residuals function, square...

...of freedom etc.. Some authoritative commentators (Baltagi) stress the advantages of imposing even an uncertain homogeneity hypothesis over resorting to heterogeneous techniques with uncertain small-sample properties (especially if data are not in the thousands...) on grounds of efficiency. Others (Pesaran) support the opposite strategy on grounds of consistency. You might start your inquiry from Baltagi, Griffin and Xiong, "To pool or not to pool", The Review of Economics and Statistics, February 2000, 82(1): 117-126. In a nutshell, you must strike a balance between efficiency and consi...