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plm

cipstest

Cross-sectionally Augmented IPS Test for Unit Roots in Panel Models

Description

Cross-sectionally augmented Im, Pesaran and Shin (IPS) test for unit roots in panel models.

Usage

cipstest(
  x,
  lags = 2,
  type = c("trend", "drift", "none"),
  model = c("cmg", "mg", "dmg"),
  truncated = FALSE,
  ...
)

Arguments

`x`	an object of class `"pseries"`,
`lags`	lag order for Dickey-Fuller augmentation,
`type`	one of `"trend"`, `"drift"`, `"none"`,
`model`	one of `"cmg"`, `"mg"`, `"dmg"`,
`truncated`	logical specifying whether to calculate the truncated version of the test,
`...`	further arguments passed to `critvals.cips` (non-exported function).

Details

This cross-sectionally augmented version of the IPS unit root test (H0: the pseries has a unit root) is a so-called second-generation panel unit root test: it is in fact robust against cross-sectional dependence, provided that the default type="cmg" is calculated. Else one can obtain the standard (model="mg") or cross-sectionally demeaned (model="dmg") versions of the IPS test.

Value

An object of class "htest".

Author(s)

Giovanni Millo

References

Pesaran MH (2007). “A simple panel unit root test in the presence of cross-section dependence.” Journal of Applied Econometrics, 22(2), 265–312.

Examples

data("Produc", package = "plm")
Produc <- pdata.frame(Produc, index=c("state", "year"))
## check whether the gross state product (gsp) is trend-stationary
cipstest(Produc$gsp, type = "trend")

plm

Linear Models for Panel Data

v2.4-1

GPL (>= 2)

Authors

Yves Croissant [aut, cre], Giovanni Millo [aut], Kevin Tappe [aut], Ott Toomet [ctb], Christian Kleiber [ctb], Achim Zeileis [ctb], Arne Henningsen [ctb], Liviu Andronic [ctb], Nina Schoenfelder [ctb]

Initial release

2021-03-02