From Achim.Zeileis at wu-wien.ac.at  Fri Jan 30 13:28:48 2009
From: Achim.Zeileis at wu-wien.ac.at (Achim Zeileis)
Date: Fri, 30 Jan 2009 13:28:48 +0100 (CET)
Subject: [Rd] "Panel Data Unit Root tests"
In-Reply-To: <C9328F0EEDC3BC439FDABD12060E91098E153F@erini1.ERINI.local>
References: <C9328F0EEDC3BC439FDABD12060E91098E153F@erini1.ERINI.local>
Message-ID: <Pine.LNX.4.64.0901301325120.3957@paninaro.stat-math.wu-wien.ac.at>

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



[Rd] "Panel Data Unit Root tests"
Achim Zeileis