Testing for Unit Roots in Heterogeneous Panels

By Im Kyung So, Pesaran Hashem, and Shin Yongcheol
Journal of Econometrics (2003)

  • Christophe Hurlin

    University of Orléans

    France

Created

September 30, 2013

Last update

September 30, 2013

Software

Matlab

Ranking

32

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3109

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319

Description

This Matlab code computes the various panel unit root test statistics proposed by Im, Pesaran and Shin (2003) for heterogeneous panels. The only required input is the (T,N) matrix of data, where T is the time dimension and N is the cross sectional one. The panel data can be balanced or unbalanced. 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. The code displays the t-bar statistic (mean of individual ADF statistics), the two standardize IPS statistics (Wbar and Zbar) and their p-values. For more details, see the survey by Hurlin and Mignon (2007).

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