******** Using Random Numbers ******* ---LL Panel Unit Root Tests --- ----------- The Levin and Lin (1992) Model 1 Unit Root Test ----------- ----------- Without Intercept and Time Trend --------------- t_rho_stat= 0.77938 :critical Probability= 0.21788 rho_stat= 0.92057 : critical Probability= 0.25754 ----------------------------------------------------------------------- ----------- The Levin and Lin (1992) Model 2 Unit Root Test ----------- ----------- With Intercept and No Time Trend --------------- t_rho= 0.83118 :critical Probability= 0.20294 rho_stat= 1.00270 critical Probability= 0.23916 ----------------------------------------------------------------------- ----------- The Levin and Lin (1992) Model 3 Unit Root Test ----------- ----------- With Intercept and Time Trend --------------- t_rho_stat= 0.82849 :critical Probability= 0.20370 rho_stat= 1.00262 :critical Probability= 0.23918 ----------------------------------------------------------------------- ----------- The Levin and Lin (1992) Model 4 Unit Root Test ----------- ----------- without Intercept and Time Trend --------------- ----------- with Time specific effect --------------- t_rho_stat= 0.88823 :critical Probability= 0.18721 rho_stat= 1.39729 :critical Probability= 0.16157 ----------------------------------------------------------------------- ----------- The Levin and Lin (1992) Model 5 Unit Root Test ----------- ----------- without Intercept and Time Trend --------------- ----------- with individual specific effect --------------- t_rho_stat= -0.73410 :critical Probability= 0.23145 ll_5_stat= -2.22708 :critical Probability= 0.24280 ----------------------------------------------------------------------- ----------- The Levin and Lin (1992) Model 6 Unit Root Test ----------- --- with individual specific effect and individual time trend --- t_rho_stat= 0.29010 :critical Probability= 0.38587 rho_stat= -1.18844 :critical Probability= 0.31022 ----------------------------------------------------------------------- ----------- The Levin and Lin (1992) Model 7 Unit Root Test ----------- ----------- Without Intercept and Time Trend --------------- ----------- Correlation across time period --------------- t_rho= 152.84722 :critical Probability= 0.00000 rho_stat= -0.74704 :critical Probability= 0.32593 ----------------------------------------------------------------------- ----------- The Levin and Lin (1993) Model 1 Unit Root Test ----------- --- without individual specific effect and individual time trend --- t_delta*= 3.51089 :critical Probability= 0.00022 ----------------------------------------------------------------------- ----------- The Levin and Lin (1993) Model 2 Unit Root Test ----------- --- with individual specific effect and without individual time trend --- t_delta*= 33.19944 :critical Probability= 0.00000 ----------------------------------------------------------------------- ----------- The Levin and Lin (1993) Model 3 Unit Root Test ----------- --- with individual specific effect and individual time trend --- t_delta*= 79.14609 :critical Probability= 0.00000 ----------------------------------------------------------------------- ---IPS Panel Unit Root Tests --- 3.00000 3.00000 3.00000 3.00000 3.00000 ----------- Im, Pesaran and Shin(1995) Unit Root t Test ----------- ------------------------ Without Time Trend ------------------------- Z_bar critical Probability 0.08670 0.46545 ps:if Z_bar=9999, it means this test statistic can not be computed. ----------------------------------------------------------------------- ------------------------ With Time Trend ------------------------- Z_bar critical Probability 1.11961 0.13144 ps:if Z_bar=9999, it means this test statistic can not be computed. ----------------------------------------------------------------------- ----------- Im, Pesaran and Shin(1997) Unit Root t Test ----------- ------------------------ Without Time Trend ------------------------- Z_bar critical Probability 0.08670 0.46545 ps:if Z_bar=9999, it means this test statistic can not be computed. ----------------------------------------------------------------------- ------------------------ With Time Trend ------------------------- Z_bar critical Probability 1.11961 0.13144 ps:if Z_bar=9999, it means this test statistic can not be computed. ----------------------------------------------------------------------- ---Harris and Tzavalis Panel Unit Root Tests --- ----------- The Harris and Tzaralis (1999) Model 1a Unit Root Test ---------- - ----------- Without Intercept and Time Trend --------------- nomalized ht_1_stat 0.00000 :critical Probability= 0.50000 ----------------------------------------------------------------------- ----------- The Harris and Tzaralis (1999) Model 1b Unit Root Test ---------- - ----------- With Intercept and Without Time Trend --------------- nomalized ht_2_stat 2.11267 :critical Probability= 0.01731 ----------------------------------------------------------------------- ----------- The Harris and Tzaralis (1999) Model 1c Unit Root Test ---------- - ----------- With Intercept and Time Trend --------------- nomalized ht_3_stat 45.64929 :critical Probability= 0.00000 ----------------------------------------------------------------------- --- Hadri (2000) Panel Stationarity Test --- ----------- Hadri (2000) panel unit root test ----------- z stat critical Probability ** No Time Trend ** 17.51831 0.00000 ** With Time Trend ** 215.76180 0.00000 ----------------------------------------------------------------------- ----------- Hadri (2000) panel unit root test ----------- z stat critical Probability ** No Time Trend ** 11.47026 0.00000 ** With Time Trend ** 156.47614 0.00000 ----------------------------------------------------------------------- ----------- Hadri (2000) panel unit root test ----------- z stat critical Probability ** No Time Trend ** 17.51831 0.00000 ** With Time Trend ** 215.76180 0.00000 ----------------------------------------------------------------------- ----------- Hadri (2000) panel unit root test ----------- z stat critical Probability ** No Time Trend ** 11.47026 0.00000 ** With Time Trend ** 156.47614 0.00000 ----------------------------------------------------------------------- --- Breitung (2000) Panel Stationarity Test --- ----------- Breitung (2000) UB t test ----------- UB t stat critical Probability 0.62212 0.26693 ----------------------------------------------------------------------- ******** Using Unemployment Data ******* e:\upcd1\work\npt\npt_unit.prg(47) : error G0195 : '(-999) in a few countries in 1955 and 19' : Invalid format Data: Unemp2.txt ---LL Panel Unit Root Tests --- ----------- The Levin and Lin (1992) Model 1 Unit Root Test ----------- ----------- Without Intercept and Time Trend --------------- t_rho_stat= 1.66438 :critical Probability= 0.04802 rho_stat= 1.56054 : critical Probability= 0.13491 ----------------------------------------------------------------------- ----------- The Levin and Lin (1992) Model 2 Unit Root Test ----------- ----------- With Intercept and No Time Trend --------------- t_rho= -2.02908 :critical Probability= 0.02122 rho_stat= -2.91067 critical Probability= 0.01979 ----------------------------------------------------------------------- ----------- The Levin and Lin (1992) Model 3 Unit Root Test ----------- ----------- With Intercept and Time Trend --------------- t_rho_stat= -1.57916 :critical Probability= 0.05715 rho_stat= -2.86617 :critical Probability= 0.02135 ----------------------------------------------------------------------- ----------- The Levin and Lin (1992) Model 4 Unit Root Test ----------- ----------- without Intercept and Time Trend --------------- ----------- with Time specific effect --------------- t_rho_stat= -2.13230 :critical Probability= 0.01649 rho_stat= -2.88730 :critical Probability= 0.02059 ----------------------------------------------------------------------- ----------- The Levin and Lin (1992) Model 5 Unit Root Test ----------- ----------- without Intercept and Time Trend --------------- ----------- with individual specific effect --------------- t_rho_stat= 2.24457 :critical Probability= 0.01240 ll_5_stat= 7.41363 :critical Probability= 0.01014 ----------------------------------------------------------------------- ----------- The Levin and Lin (1992) Model 6 Unit Root Test ----------- --- with individual specific effect and individual time trend --- t_rho_stat= 1.91016 :critical Probability= 0.02806 rho_stat= 10.34097 :critical Probability= 0.00001 ----------------------------------------------------------------------- ----------- The Levin and Lin (1992) Model 7 Unit Root Test ----------- ----------- Without Intercept and Time Trend --------------- ----------- Correlation across time period --------------- t_rho= 310.31382 :critical Probability= 0.00000 rho_stat= -1.86257 :critical Probability= 0.13378 ----------------------------------------------------------------------- ----------- The Levin and Lin (1993) Model 1 Unit Root Test ----------- --- without individual specific effect and individual time trend --- t_delta*= 1.61555 :critical Probability= 0.05310 ----------------------------------------------------------------------- ----------- The Levin and Lin (1993) Model 2 Unit Root Test ----------- --- with individual specific effect and without individual time trend --- t_delta*= 13.24753 :critical Probability= 0.00000 ----------------------------------------------------------------------- ----------- The Levin and Lin (1993) Model 3 Unit Root Test ----------- --- with individual specific effect and individual time trend --- t_delta*= 39.23475 :critical Probability= 0.00000 ----------------------------------------------------------------------- ---IPS Panel Unit Root Tests --- 3.00000 3.00000 3.00000 3.00000 3.00000 3.00000 3.00000 3.00000 3.00000 3.00000 3.00000 3.00000 3.00000 3.00000 3.00000 3.00000 3.00000 3.00000 3.00000 ----------- Im, Pesaran and Shin(1995) Unit Root t Test ----------- ------------------------ Without Time Trend ------------------------- Z_bar critical Probability 0.90816 0.18190 ps:if Z_bar=9999, it means this test statistic can not be computed. ----------------------------------------------------------------------- ------------------------ With Time Trend ------------------------- Z_bar critical Probability -2.20719 0.01365 ps:if Z_bar=9999, it means this test statistic can not be computed. ----------------------------------------------------------------------- ----------- Im, Pesaran and Shin(1997) Unit Root t Test ----------- ------------------------ Without Time Trend ------------------------- Z_bar critical Probability 0.90816 0.18190 ps:if Z_bar=9999, it means this test statistic can not be computed. ----------------------------------------------------------------------- ------------------------ With Time Trend ------------------------- Z_bar critical Probability -2.20719 0.01365 ps:if Z_bar=9999, it means this test statistic can not be computed. ----------------------------------------------------------------------- ---Harris and Tzavalis Panel Unit Root Tests --- ----------- The Harris and Tzaralis (1999) Model 1a Unit Root Test ---------- - ----------- Without Intercept and Time Trend --------------- nomalized ht_1_stat 0.00000 :critical Probability= 0.50000 ----------------------------------------------------------------------- ----------- The Harris and Tzaralis (1999) Model 1b Unit Root Test ---------- - ----------- With Intercept and Without Time Trend --------------- nomalized ht_2_stat 4.14938 :critical Probability= 0.00002 ----------------------------------------------------------------------- ----------- The Harris and Tzaralis (1999) Model 1c Unit Root Test ---------- - ----------- With Intercept and Time Trend --------------- nomalized ht_3_stat 43.22758 :critical Probability= 0.00000 ----------------------------------------------------------------------- --- Hadri (2000) Panel Stationarity Test --- ----------- Hadri (2000) panel unit root test ----------- z stat critical Probability ** No Time Trend ** 20.18837 0.00000 ** With Time Trend ** 1234.97608 0.00000 ----------------------------------------------------------------------- ----------- Hadri (2000) panel unit root test ----------- z stat critical Probability ** No Time Trend ** 13.19072 0.00000 ** With Time Trend ** 1040.37167 0.00000 ----------------------------------------------------------------------- ----------- Hadri (2000) panel unit root test ----------- z stat critical Probability ** No Time Trend ** 20.18837 0.00000 ** With Time Trend ** 1234.97608 0.00000 ----------------------------------------------------------------------- ----------- Hadri (2000) panel unit root test ----------- z stat critical Probability ** No Time Trend ** 13.19072 0.00000 ** With Time Trend ** 1040.37167 0.00000 ----------------------------------------------------------------------- --- Breitung (2000) Panel Stationarity Test --- ----------- Breitung (2000) UB t test ----------- UB t stat critical Probability 2.90469 0.00184 ----------------------------------------------------------------------- dlibrary -d;