HADRI - Hadri LM Panel Unit Root test
Posted: Mon May 07, 2012 5:50 pmThis 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( 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
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