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Panel-CADF Testing with R: Panel Unit Root Tests Made Easy

Claudio Lupi ()

Economics & Statistics Discussion Papers from University of Molise, Dept. EGSeI

Abstract: This paper presents the R implementation of the panel covariate augmented Dickey-Fuller (panel-CADF) test proposed in Costantini and Lupi (2011), as well as the implementation of the tests advocated in Choi (2001) and Demetrescu, Hassler, and Tarcolea (2006). A panel-CADF extension of the test suggested in Hanck (2008) is also discussed and its size and power properties are investigated via Monte Carlo analysis. The simulation results show that the panel-CADF tests have interesting properties in terms of size and power. The R implementation illustrated here is part of the ongoing work on a new R package named punitroots (Kleiber and Lupi 2011).

Keywords: panel data; unit root; R (search for similar items in EconPapers)
JEL-codes: C33 C12 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-ets
Date: 2011-12-29
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Persistent link: https://EconPapers.repec.org/RePEc:mol:ecsdps:esdp11063

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