A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test

By Maddala G.S. and Wu Shaowen
Oxford Bulletin of Economics and Statistics (1999)

  • Christophe Hurlin

    University of Orléans



September 30, 2013

Last update

September 30, 2013










This Matlab code computes the Fisher (1932) type panel unit root tests, proposed by Choi (2001) and Maddala and Wu (1999). Both tests combine the significant levels obtained from individual ADF tests. The only required inputs is the (T,N) matrix of data, where T is the time dimension and N is the cross section one. 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 individual lag orders are determined according to the BIC information criteria or provided by the user (optional). For more details, see the survey of Hurlin and Mignon (2007) on panel unit root tests.

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