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Second generation panel unit root tests
Posted: Thu Apr 07, 2016 9:28 pm
by sanjeev
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.
Re: Second generation panel unit root tests
Posted: Thu Apr 07, 2016 10:20 pm
by TomDoan
Re: Second generation panel unit root tests
Posted: Sat Apr 30, 2016 11:03 am
by sanjeev
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.
Re: Second generation panel unit root tests
Posted: Sun May 01, 2016 6:57 am
by TomDoan
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.