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.
Working Paper (2018)
Müller Gernot and Hettig Thomas