panel data unit root tests

Have you received a reply?  I haven't seen one.  RSiteSearch("panel 
data unit root test") produced another question on this but no answers 
that I saw.  RSiteSearch("unit root test") produced 75 hits with many 
useful.  RSiteSearch("panel data analysis") produced 75 hits, the first 
of which suggested the nlme package 
(http://finzi.psych.upenn.edu/R/Rhelp02a/archive/26962.html).  You could
construct nested models to compare the corAR1 correlation structure with
first differences.

	  hope this helps.
	  spencer graves

jukka ruohonen wrote:

Hi,

The question is as follows: has anyone coded panel data unit root tests

with R? Even the "first generation" tests (see e.g. Levin & Lin 1993; 
Pesaran, & Smith & Im 1996; Maddala & Wu 1999) would be sufficient for
my needs. To my understanding, these are rather easy to code, but as I
have taken just my first steps in coding with R, existing code would 
save me from a lot of trouble & time.


With regards,

Jukka Ruohonen
University of Helsinki


References:

Levin, A. & Lin, C.F. (1993): Unit Root Tests in Panel Data. 
ftp://weber.ucsd.edu/pub/econlib/dpapers/ucsd9356.pdf

Maddala, G.S. & Wu, S. (1999): A Comparative Study of Unit Roots Tests

with 

Panel Data and a New Simple Test. Oxford Bulleting of Economics and 
Statistics. Special Issue 61, 631-652.

Pesaran, M.H. & Smith, R. & Im, K.S. (1996): Dynamic Linear Models for

Heterogenous Panels. In: Matyas, L. & Sevestre, P. (eds.): The

Econometrics 

of Panel Data: a Handbook of the Theory with Applications, second

edition, 

pp. 145-195.