CIPS test of Pesaran (2007)

[mjchang68]

Dear all:

I like to try the CIPS test of Pesaran (2006) in my study. If anyone has the code in Rats, please let me know. I greatly appreciate it.
[ps: Pesaran, M.H., 2006, A simple panel unit root test in the presence of cross section dependence, working paper, Dept. of Economics, Cambridge Univ.]

Thank you.

Published as Pesaran(2007), "A simple panel unit root test in the presence of cross-section dependence," Journal of Applied Econometrics, vol. 22 #2, 265-312.

[mamacle]

Hi Tom,

I was just wondering if there is a command in RATS to compute CIPS test for unit root in the presence of Cross-Section dependence (Pesaran,2007).

Thank you!

[TomDoan]

This does the CIPS test. As the comments say, it's a crude implementation of it, as it hasn't been converted into a procedure, but it does the required calculations.

real_exchange.rpf

Program file

(2.33 KiB) Downloaded 1257 times

real_exchange_7398.xls

Data file

(47.5 KiB) Downloaded 998 times