Re: [Gretl-users] panel unit root tests in CVS
Ah, my example wasn't very well though-out. You're right that with series like
{gdp cons inv}, a common trend/cointegrating vector would be more interesting. But suppose
I have a list of commodity price series like {oil gold copper}. A panel unit root test
might be more relevant there (at least according to my referees!).
Thanks again,
PS
-----Original Message-----
From: gretl-users-bounces(a)lists.wfu.edu [mailto:gretl-users-bounces@lists.wfu.edu] On
Behalf Of Allin Cottrell
Sent: Monday, July 12, 2010 7:37 PM
To: Gretl list
Subject: Re: [Gretl-users] panel unit root tests in CVS
On Mon, 12 Jul 2010, Summers, Peter wrote:
Many thanks for implementing this! Once again your development
work is highly correlated with my current projects ;-).
That's a happy chance.
I've successfully run the new command & everything seems
sensible (I haven't tried other implementations so nothing to
compare to). One question/suggestion though: To use the new
feature, I had to create a new panel data set from an existing
time series one. This was no problem given the example on p. 25
of the guide, but I was wondering if it would be possible to
have something like a "--panel" option to use with a list of
series. Something like
list varlist = gdp cons inv
adf 0 varlist --panel
So you'd get the IPS & Choi tests at the end. Would that be
feasible and/or have non-negligible demand?
If your objective is to analyse the joint properties of k parallel
time series (rather than one time-series variable observed over
several cross-sectional units), I'm not sure why you'd want to
"pretend" that the series are from a panel.
It seems to me you'd get more useful information from the Johansen
test on the k series of interest (command "coint2" in gretl).
Allin Cottrell
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