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



September 28, 2013

Last update

September 28, 2013










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.

Too Much of a Good Thing?

International Journal of Research in Marketing (2019)

Gaustad Tarje, M. Bendik, Warlop Luk, and Fitzsimons Gavan J.

Evaluating marketplace synergies of ingredient brand alliances

International Journal of Research in Marketing (2018)

Bowman Douglas

Smart Systemic-Risk Scores

Working Paper (2018)

Benoit Sylvain

Shaping Consumer Preference Using Alignable Attributes: The Roles of Regulatory Orientation and Construal Level

International Journal of Research in Marketing (2018)

Sun Jin, Keh Hean Tat, and Lee Angela Y.

Backtesting Expected Shortfall via Multi-Quantile Regression

Working Paper (2018)

Couperier Ophélie and Leymarie Jérémy

Wealth Distribution with Random Discount Factors

Journal of Monetary Economics (2018)

Toda Alexis Akira






Targeting Online Display Ads: Choosing Their Frequency and Spacing

International Journal of Research in Marketing (2018)

Försch Steffen and de Haan Evert

Financial distress, refinancing, and debt structure

Journal of Banking and Finance (2018)

Yin Qie and Dudley Evan

On the Monetary Impact of Fashion Design Piracy

International Journal of Research in Marketing (2018)

Appel Gil, Libai Barak, and Muller Eitan

0 comment

Add comment

You need to log in to post a comment.