HADRI—Hadri LM Panel Unit Root test
Posted: Tue Aug 21, 2018 4:37 pm
@Hadri implements the LM tests from Hadri, "Testing for stationarity in heterogeneous panel data", Econometrics Journal, vol 3, no 2, 148-161. This has stationarity as the null, and rejects (in favor of some unit roots) if the detrended or de-meaned data are too persistent. It is, in effect, an aggregation of KPSS test statistics, using large N asymptotics applied to the average of the KPSS statistics.
Detailed description
Detailed description