Second generation panel unit root tests

[sanjeev]

Dear Tom,
Can you please tell me if RATS offers the program for conducting panel unit root tests that allow for cross-sectional dependence,for example CIPS test?

Please reply soon!


Thanks.

[TomDoan]

See https://estima.com/forum/viewtopic.php?f=38&t=2596

[sanjeev]

Dear Tom,
Does RATS have a program for testing the cross-sectional dependence? Also can we test non-stationary variables for cross-sectional dependence?


Please reply soon!
Thanks.
Regards.

[TomDoan]

Dear Tom,
Does RATS have a program for testing the cross-sectional dependence? Also can we test non-stationary variables for cross-sectional dependence?

In the CIPS test, you don't test for cross-sectional dependence, you test for unit roots allowing for it.