Right... I'm aware of some limitations of these kind of tests. Anyway, tests
like IPS, Maddala-Wu or Levin-Lin-Chou (2002) would be welcome. I was hoping
to find a R package for these tests, but no success. Last but not least,
thank you for answering, Sven.
Sincerely,
Bruno
-Mensagem origina
Well I don't have a complete solution for you, but AFAIR some of these
tests rely on average ADF test statistics. So here is an example script
showing how to calculate such averages across panel units:
open greene14_1.gdt # example of a panel dataset
# which variable?
series tested = C
lagorder =
