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).
Working Paper (2018)
Müller Gernot and Hettig Thomas