Cross-sectionally Augmented IPS Test for Unit Roots in Panel Models
Cross-sectionally augmented Im, Pesaran and Shin (IPS) test for unit roots in panel models.
cipstest( x, lags = 2, type = c("trend", "drift", "none"), model = c("cmg", "mg", "dmg"), truncated = FALSE, ... )
x |
an object of class |
lags |
lag order for Dickey-Fuller augmentation, |
type |
one of |
model |
one of |
truncated |
logical specifying whether to calculate the truncated version of the test, |
... |
further arguments passed to |
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.
An object of class "htest"
.
Giovanni Millo
Pesaran MH (2007). “A simple panel unit root test in the presence of cross-section dependence.” Journal of Applied Econometrics, 22(2), 265–312.
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")
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