HADRI - Hadri LM Panel Unit Root test

[TomDoan]

This implements the LM tests from Hadri, "Testing for stationarity in heterogeneous panel data", Econometrics Journal, vol 3, no 2, 148-161. This has stationarity as the null, and rejects (in favor of some unit roots) if the detrended or de-meaned data are too persistent. It is, in effect, an aggregation of KPSS test statistics, using large N asymptotics applied to the average of the KPSS statistics.

hadri.src

Procedure file - requires RATS 7.30 or later

(6.07 KiB) Downloaded 89 times

@hadri( options ) series start end

Options

SMPL=Dummy series with 0's in entries to skip [include all]
DET=NONE/[CONSTANT]/TREND (NONE is an error)
VARIANCE=[HOMOGENEOUS]/HETEROGENEOUS/ROBUST
LWINDOW=NEWEY/BARTLETT/FLAT/PARZEN/QUADRATIC
LAGS=# of lags (or bandwidth for LWINDOW=QUADRATIC) [Schwert's]

If VARIANCE=HOMOGENEOUS, the variances are assumed to be the same in each cross section. HETEROGENEOUS is for no serial correlation, but differing variances. ROBUST allows for heterogeneous serial correlation, with the long-run variance computed according to the LWINDOW and LAGS options.

TITLE=title for output ["Hadri Unit Root Test Series: ..."]
[PRINT]/NOPRINT