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% Generated by roxygen2: do not edit by hand
% Please edit documentation in R/test_uroot.R
\name{purtest}
\alias{purtest}
\alias{print.purtest}
\alias{summary.purtest}
\alias{print.summary.purtest}
\title{Unit root tests for panel data}
\usage{
purtest(
object,
data = NULL,
index = NULL,
test = c("levinlin", "ips", "madwu", "Pm", "invnormal", "logit", "hadri"),
exo = c("none", "intercept", "trend"),
lags = c("SIC", "AIC", "Hall"),
pmax = 10,
Hcons = TRUE,
q = NULL,
dfcor = FALSE,
fixedT = TRUE,
ips.stat = NULL,
...
)
\method{print}{purtest}(x, ...)
\method{summary}{purtest}(object, ...)
\method{print}{summary.purtest}(x, ...)
}
\arguments{
\item{object, x}{Either a \code{"data.frame"} or a matrix containing the
time series (individuals as columns), a \code{"pseries"} object, a formula;
a \code{"purtest"} object for the print and summary methods,}
\item{data}{a \code{"data.frame"} or a \code{"pdata.frame"} object (required for
formula interface, see Details and Examples),}
\item{index}{the indexes,}
\item{test}{the test to be computed: one of \code{"levinlin"} for
\insertCite{LEVIN:LIN:CHU:02;textual}{plm}, \code{"ips"} for
\insertCite{IM:PESAR:SHIN:03;textual}{plm}, \code{"madwu"} for
\insertCite{MADDA:WU:99;textual}{plm}, \code{"Pm"} , \code{"invnormal"},
or \code{"logit"} for various tests as in
\insertCite{CHOI:01;textual}{plm}, or \code{"hadri"} for
\insertCite{HADR:00;textual}{plm}, see Details,}
\item{exo}{the exogenous variables to introduce in the augmented
Dickey--Fuller (ADF) regressions, one of: no exogenous
variables (\code{"none"}), individual intercepts (\code{"intercept"}), or
individual intercepts and trends (\code{"trend"}), but see Details,}
\item{lags}{the number of lags to be used for the augmented
Dickey-Fuller regressions: either a single value integer (the number of
lags for all time series), a vector of integers (one for each
time series), or a character string for an automatic
computation of the number of lags, based on the AIC
(\code{"AIC"}), the SIC (\code{"SIC"}), or on the method by
\insertCite{HALL:94;textual}{plm} (\code{"Hall"}); argument is irrelevant
for \code{test = "hadri"},}
\item{pmax}{maximum number of lags (irrelevant for \code{test = "hadri"}),}
\item{Hcons}{logical, only relevant for \code{test = "hadri"},
indicating whether the heteroskedasticity-consistent test of
\insertCite{HADR:00;textual}{plm} should be computed,}
\item{q}{the bandwidth for the estimation of the long-run variance
(only relevant for \code{test = "levinlin"}, the default (\code{q = NULL})
gives the value as suggested by the authors as round(3.21 * T^(1/3))),}
\item{dfcor}{logical, indicating whether the standard deviation of
the regressions is to be computed using a degrees-of-freedom
correction,}
\item{fixedT}{logical, indicating whether the individual ADF
regressions are to be computed using the same number of
observations (irrelevant for \code{test = "hadri"}),}
\item{ips.stat}{\code{NULL} or character of length 1 to request a specific
IPS statistic, one of \code{"Wtbar"} (also default if \code{ips.stat = NULL}),
\code{"Ztbar"}, \code{"tbar"},}
\item{\dots}{further arguments (can set argument \code{p.approx} to be passed on
to non-exported function \code{padf} to either \code{"MacKinnon1994"} or \code{"MacKinnon1996"}
to force a specific method for p-value approximation, the latter only being
possible if package 'urca' is installed).}
}
\value{
For purtest: An object of class \code{"purtest"}: a list with the elements
named:
\itemize{
\item \code{"statistic"} (a \code{"htest"} object),
\item \code{"call"},
\item \code{"args"},
\item \code{"idres"} (containing results from the individual regressions),
\item \code{"adjval"} (containing the simulated means and variances needed to compute
the statistic, for \code{test = "levinlin"} and \code{"ips"}, otherwise \code{NULL}),
\item \code{"sigma2"} (short-run and long-run variance for \code{test = "levinlin"},
otherwise \code{NULL}).
}
}
\description{
\code{purtest} implements several testing procedures that have been proposed
to test unit root hypotheses with panel data.
}
\details{
All these tests except \code{"hadri"} are based on the estimation of
augmented Dickey-Fuller (ADF) regressions for each time series. A
statistic is then computed using the t-statistics associated with
the lagged variable. The Hadri residual-based LM statistic is the
cross-sectional average of the individual KPSS statistics
\insertCite{KWIA:PHIL:SCHM:SHIN:92;textual}{plm}, standardized by their
asymptotic mean and standard deviation.
Several Fisher-type tests that combine p-values from tests based on
ADF regressions per individual are available:
\itemize{
\item \code{"madwu"} is the inverse chi-squared test
\insertCite{MADDA:WU:99;textual}{plm}, also called P test by
\insertCite{CHOI:01;textual}{plm}.
\item \code{"Pm"} is the modified P test proposed by
\insertCite{CHOI:01;textual}{plm} for large N,
\item \code{"invnormal"} is the inverse normal test by \insertCite{CHOI:01;textual}{plm}, and
\item \code{"logit"} is the logit test by \insertCite{CHOI:01;textual}{plm}.
}
The individual p-values for the Fisher-type tests are approximated
as described in \insertCite{MACK:96;textual}{plm} if the package \CRANpkg{urca}
(\insertCite{PFAFF:08;textual}{plm}) is available, otherwise as described in
\insertCite{MACK:94;textual}{plm}.
For the test statistic tbar of the test of Im/Pesaran/Shin (2003)
(\code{ips.stat = "tbar"}), no p-value is given but 1\%, 5\%, and 10\% critical
values are interpolated from paper's tabulated values via inverse distance
weighting (printed and contained in the returned value's element
\code{statistic$ips.tbar.crit}).
Hadri's test, the test of Levin/Lin/Chu, and the tbar statistic of
Im/Pesaran/Shin are not applicable to unbalanced panels; the tbar statistic
is not applicable when \code{lags > 0} is given.
The exogenous instruments of the tests (where applicable) can be specified
in several ways, depending on how the data is handed over to the function:
\itemize{
\item For the \code{formula}/\code{data} interface (if \code{data} is a \code{data.frame},
an additional \code{index} argument should be specified); the formula
should be of the form: \code{y ~ 0}, \code{y ~ 1}, or \code{y ~ trend} for a test
with no exogenous variables, with an intercept, or with individual
intercepts and time trend, respectively. The \code{exo} argument is
ignored in this case.
\item For the \code{data.frame}, \code{matrix}, and \code{pseries} interfaces: in
these cases, the exogenous variables are specified using the \code{exo}
argument.
}
With the associated \code{summary} and \code{print} methods, additional
information can be extracted/displayed (see also Value).
}
\examples{
data("Grunfeld", package = "plm")
y <- data.frame(split(Grunfeld$inv, Grunfeld$firm)) # individuals in columns
purtest(y, pmax = 4, exo = "intercept", test = "madwu")
## same via pseries interface
pGrunfeld <- pdata.frame(Grunfeld, index = c("firm", "year"))
purtest(pGrunfeld$inv, pmax = 4, exo = "intercept", test = "madwu")
## same via formula interface
purtest(inv ~ 1, data = Grunfeld, index = c("firm", "year"), pmax = 4, test = "madwu")
}
\references{
\insertAllCited{}
}
\seealso{
\code{\link[=cipstest]{cipstest()}}, \code{\link[=phansitest]{phansitest()}}
}
\author{
Yves Croissant and for "Pm", "invnormal", and "logit" Kevin Tappe
}
\keyword{htest}
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