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"Panel Data Unit Root tests"
2 messages · Jose Iparraguirre D'Elia, Achim Zeileis
Jose, this is not the list for asking questions like this. You should ask on R-help or (alternatively!) R-SIG-Finance would be a good place to ask.
I could not find a package to run panel data unit root tests in R (there's a STATA module, though - PANELUNIT- and routines for Sarno and Taylor's MADF test, Levin-Lin-Chu's test, Im-Pesaran-Shin's Test, etc, to do this). Hence, I am toying with the idea of having a go at writing up one for R, but would like to know whether anyone is already working on this.
I think that there's currently no package for this on CRAN but I might be wrong. But there's a chance that someone on the SIG has code for this... Best, Z