Unit Root Tests in Panel Data: Asymptotic and Finite-Sample Properties

By Levin Andrew, Lin Chien-Fu, and Chu Chia-Shang
Journal of Econometrics (2002)

  • Christophe Hurlin

    University of Orléans

    France

Created

September 28, 2013

Last update

September 28, 2013

Software

Matlab

Ranking

31

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3209

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282

Description

This Matlab code computes the pooled t-statistic for the panel unit root test proposed by Levin, Lin and Chu (2002). The only required input is the (T,N) matrix of data (T is the time dimension and N is the cross section dimension). The user can choose the deterministic component: with no individual effects (model 1), with individual effects but no time trends (model 2), and with individual effects and time trends (model 3). The user can also choose the kernel function and the selection method for the bandwidth parameter. The individual lag orders are determined according to the BIC information criteria or provided by the user (optional). The code displays the corrected (and non-corrected) pooled t-statistic with its p-value, the mean and variance adjustment factors, and other information.

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