BREITUNG - Test for unit roots in panel data
Posted: Mon May 07, 2012 3:04 pmImplements the test for unit roots in panel data from Breitung(2000), "The local power of some unit root tests for panel data", from Baltagi, Fomby, Hill (eds), "Nonstationary Panels, Panel Cointegration, and Dynamic Panels (Advances in Econometrics, Volume 15)", Emerald Group Publishing, pp.161-177
@Breitung( options ) series start end
Options
SMPL=Dummy series with 0's in entries to skip [include all]
DET=NONE/[CONSTANT]/TREND Deterministic components
LAGS=(maximum) number of additional lags of the differenced series to include [Schwert's suggestion]
CRIT=FIXED/[GTOS]/AIC/BIC/HQ
Criterion used in selecting the individual specific lags. FIXED uses the value of the LAGS option for each. GTOS is General TO Specific, starting at the value of the LAGS option and dropping lags as long as the t-stat on the final one has a significance level below the SLSTAY option. AIC, BIC and HQ are Akaike, Schwarz Bayesian and Hannan-Quinn, respectively.
SLSTAY=significance level for keeping the marginal lag in CRIT=GTOS [.10]
ROBUST/[NOROBUST] Uses robust (Eicker-White) standard errors in computing the test statistic.
[PRINT]/NOPRINT
TITLE=title for output ["Breitung Unit Root Test Series: ..."]
breitung.src- Procedure file - requires RATS 8.00 or later
- (8.75 KiB) Downloaded 75 times
@Breitung( options ) series start end
Options
SMPL=Dummy series with 0's in entries to skip [include all]
DET=NONE/[CONSTANT]/TREND Deterministic components
LAGS=(maximum) number of additional lags of the differenced series to include [Schwert's suggestion]
CRIT=FIXED/[GTOS]/AIC/BIC/HQ
Criterion used in selecting the individual specific lags. FIXED uses the value of the LAGS option for each. GTOS is General TO Specific, starting at the value of the LAGS option and dropping lags as long as the t-stat on the final one has a significance level below the SLSTAY option. AIC, BIC and HQ are Akaike, Schwarz Bayesian and Hannan-Quinn, respectively.
SLSTAY=significance level for keeping the marginal lag in CRIT=GTOS [.10]
ROBUST/[NOROBUST] Uses robust (Eicker-White) standard errors in computing the test statistic.
[PRINT]/NOPRINT
TITLE=title for output ["Breitung Unit Root Test Series: ..."]