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Please use this identifier to cite or link to this item: http://hdl.handle.net/2192/163

 
Title: Panel-CADF Testing with R: Panel Unit Root Tests Made Easy
Authors: Lupi, Claudio
Keywords: panel data
unit root
R
Issue Date: 29-Dec-2011
Abstract: This paper presents the R implementation of the panel covariate augmented Dickey-Fuller (panel-CADF) test proposed in Costantini and Lupi (2011), as well as the implementation of the tests advocated in Choi (2001) and Demetrescu, Hassler, and Tarcolea (2006). A panel-CADF extension of the test suggested in Hanck (2008) is also discussed and its size and power properties are investigated via Monte Carlo analysis. The simulation results show that the panel-CADF tests have interesting properties in
...more
URI: http://hdl.handle.net/2192/163
Appears in Collections:4 - REPEC
Econpapers

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