IPSHIN - Im-Pesaran-Shin Panel Unit Root

[TomDoan]

Implements tests from Im, Pesaran and Shin, "Testing for Unit Roots in Heterogeneous Panels", J. of Econometrics, 2003, vol 115, pp 53-74. This aggregates the ADF test statistics computed separately across individuals. Under the null, the average ADF statistic has a Normal limiting distribution as N->infinity. This has been revised to add options for automatic lag selection, and to use REPORT rather than DISPLAY.

ipshin.src

Procedure file - requires RATS 7.3 or later

(18.6 KiB) Downloaded 102 times

@ipshin( options ) series start end

Options
DET=NONE/[CONSTANT]/TREND (NONE is an error)
LAGS=(maximum number of) augmenting lags in the ADF regressions [Schwert's]
CRIT=[FIXED]/GTOS/AIC/BIC/HQ
Criterion to use to select the number of lags. This is done on an individual by individual basis. CRIT=FIXED uses the input LAGS on each. CRIT=GTOS starts with LAGS and drops lags until it hits one which has the marginal t with significance level set by the SLSTAY option. CRIT=AIC/BIC/HQ select the lag length using AIC, BIC (or SBC) or HQ.
SLSTAY=significance level to keep lag in model with METHOD=GTOS [.10]

SMPL=Dummy series with 0's in entries to skip [include all]

TITLE=title for output ["Im-Pesaran-Shin Unit Root Test: Series... "]
[PRINT]/NOPRINT

[tflavin71]

I am trying to run this procedure in WinRATS 8.0 and keep getting the following error message

## OP10. Instruction PSTATS Requires Option BLOCK
The Error Occurred At Location 489, Line 190 of IPSHIN

I can't see where I am going wrong - any help appreciated.

Thanks

[TomDoan]

Do you have a panel data CALENDAR? If you don't, it has no idea how to separate the data into individuals.

[tflavin71]

Thanks for pointing that out.. the proper Calendar instruction works but I have one further problem. Now the procedure runs the test on one series, even though I want it to run on the whole panel. The data reads in properly

Here is my instruction and output

OPEN DATA "G:\PPP\CIPS.csv"
CALENDAR(PANELOBS=588,M) 1957:1
ALL 10//588
DATA(FORMAT=PRN,nolabels,ORG=COLUMNS) 1//1957:1 1//2005:12 AUSTRIA BELGIUM FINLAND FRANCE GREECE IRELAND $
ITALY NETHERLANDS PORTUGAL SPAIN

@ipshin AUSTRIA BELGIUM FINLAND FRANCE GREECE IRELAND $
ITALY NETHERLANDS PORTUGAL SPAIN

------------------------------------------------------

Output:

Im-Pesaran-Shin Unit Root Test: Series AUSTRIA
Test has large N on large T asymptotics
Null is Unit Root. Alternative is rho(i)<>1 for some i
Individual Specific Components: Constant

N 1
T 1
P 0
Statistic Signif Level
Z tbar 1.150657 0.875063
Z ttildebar NA NA
TBar 0.000000
T-tilde-bar NA
1% CV -3.790000
5% CV -2.760000
10% CV -2.380000



Thanks in advance..

[TomDoan]

You have to PFORM the separate time series into a panel data set first.

Code: Select all

OPEN DATA "G:\PPP\CIPS.csv"
CALENDAR(M) 1957:1
DATA(FORMAT=PRN,nolabels,ORG=COLUMNS) 1957:1 2005:12 AUSTRIA BELGIUM FINLAND FRANCE GREECE IRELAND $
ITALY NETHERLANDS PORTUGAL SPAIN
PFORM cips
# AUSTRIA BELGIUM FINLAND FRANCE GREECE IRELAND $
   ITALY NETHERLANDS PORTUGAL SPAIN
*
* Reset the CALENDAR to a panel date schem
*
cal(panelobs=2005:12,m) 1957:1
all 10//2005:12
@ipshin cips

[tflavin71]

Thanks a million!