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.
White Halbert and Giacomini Raffaella