[Gretl-users] RES: Panel models tests
Right... I'm aware of some limitations of these kind of tests. Anyway, tests
like IPS, Maddala-Wu or Levin-Lin-Chou (2002) would be welcome. I was hoping
to find a R package for these tests, but no success. Last but not least,
thank you for answering, Sven.
Sincerely,
Bruno
-----Mensagem original-----
De: gretl-users-bounces(a)lists.wfu.edu
[mailto:gretl-users-bounces@lists.wfu.edu] Em nome de Sven Schreiber
Enviada em: quarta-feira, 6 de janeiro de 2010 13:57
Para: Gretl list
Assunto: Re: [Gretl-users] Panel models tests
Bruno Thiago Tomio schrieb:
Hello,
It's really lacking some tests when you estimate a panel model. Could
it be added some panel unit root tests, for example, please?
In principle you're right, but I guess it's a barrel without bottom (old
German proverb). What test in particular would you be interested in? BTW the
earlier panel unit root tests have ridiculously strong independence
assumptions IMHO. Also this may be a good case for contributed function
packages (I'm not 100% sure if it's really that convenient for panel data,
though.)
cheers,
sven
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