HTUNIT - Harris-Tzavalis Panel Unit Root Test

[TomDoan]

This implements the tests from Harris and Tzavalis(1999), "Inference for unit roots in dynamic panels where the time dimension is fixed", Journal of Econometrics, vol 91, pp 201–226. This uses large N, fixed T asymptotics, correcting the unit root tests for sample sample bias.

htunit.src

Procedure file - requires RATS 7.3 or later

(4.15 KiB) Downloaded 68 times

@HTUnit( options ) series start end

Options

DET=NONE/[CONSTANT]/TREND Individual-specific deterministic components to remove

SMPL=series with zeros in entries to be skipped [not used]

TITLE=title for output ["Harris-Tzavalis Test: Series ..."]
[PRINT]/NOPRINT