Second generation panel unit root tests

sanjeev · Unread post by **sanjeev** » Thu Apr 07, 2016 9:28 pm

Dear Tom,
Can you please tell me if RATS offers the program for conducting panel unit root tests that allow for cross-sectional dependence,for example CIPS test?

Please reply soon!

Thanks.

TomDoan · Unread post by **TomDoan** » Thu Apr 07, 2016 10:20 pm

See https://estima.com/forum/viewtopic.php?f=38&t=2596

sanjeev · Unread post by **sanjeev** » Sat Apr 30, 2016 11:03 am

Dear Tom,
Does RATS have a program for testing the cross-sectional dependence? Also can we test non-stationary variables for cross-sectional dependence?

Please reply soon!
Thanks.
Regards.

TomDoan · Unread post by **TomDoan** » Sun May 01, 2016 6:57 am

sanjeev wrote:Dear Tom,
Does RATS have a program for testing the cross-sectional dependence? Also can we test non-stationary variables for cross-sectional dependence?

In the CIPS test, you don't test for cross-sectional dependence, you test for unit roots allowing for it.

The RATS Software Forum

Second generation panel unit root tests

Second generation panel unit root tests

Re: Second generation panel unit root tests

Re: Second generation panel unit root tests

Re: Second generation panel unit root tests