On Thu, 18 Feb 2016, Habib Nawaz wrote:
Is the panel unit root test developed by Hashem Pesaran in 2012
"On
the Interpretation of Panel Unit Root Tests" is available in gretl.
If yes, then how can I find in gretl and how can I apply it.
Pesaran (2012) doesn't actually develop a test; he's concerned with
the interpretation of such test results. But anyway, gretl implements
the Im, Pesaran and Shin (2003) panel unit-root test. You can find the
details by going to help for the "adf" command.
An example using artificial data:
<hansl>
nulldata 1000
# set as panel data
setobs 100 1:1 --stacked-time-series
# create stationary series with fixed effects
series y = $unit + normal()
adf 0 y
</hansl>
<output>
Dickey-Fuller test for y
test with constant
model: (1-L)y = b0 + (a-1)*y(-1) + e
H0: all groups have unit root
N,T = (10,99)
Im-Pesaran-Shin t-bar = -9.37096
10% 5% 1%
Critical values: -1.88 -1.97 -2.15
Choi meta-tests:
Inverse chi-square(20) = 351.928 [0.0000]
Inverse normal test = -17.2535 [0.0000]
Logit test: t(54) = -31.2629 [0.0000]
</output>
Allin Cottrell