Pesaran (2007) "CADF"

[ylijohtaja]

Hi

I wonder whether there is a readily available code for the group mean cross-sectionally augmented adf (CADF) panel unit root test proposed by Pesaran (2007)?
I have not found such code anywhere from the Estima pages (inc. the Forum) of the manuals.

Pesaran MH (2007) A simple panel unit root test in the presence of cross-section dependence. Journal of Applied Econometrics 22: 265-312.

[TomDoan]

For a paper with "Simple" in the title to be 50 pages long seems somewhat odd, but it's actually not that complicated. I haven't tried to convert it into a procedure, but this should be relatively easy to modify as needed.

real_exchange.rpf

Example for real exchange rates

(2.33 KiB) Downloaded 1176 times

real_exchange_7398.xls

Data file

(47.5 KiB) Downloaded 814 times

[ylijohtaja]

Many thanks Tom.
(simple 50 pages ;-D)