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xtpedroni(): p-values are one-sided in the tail stated
by Pedroni (1999, p. 668): 1 - pnorm(z) for the panel
variance ratio and pnorm(z) for the other six statistics.
Up to 1.0.7 all seven were 1 - pnorm(abs(z)). The new
element tail records the tail of each statistic and the
print method shows it.xtkao(): p-values are pnorm(stat) (left
tail) for all five statistics. Up to 1.0.7 they were
1 - pnorm(abs(stat)).xtpedroni() with one regressor and
trend = TRUE: the standardization moments are Pedroni
(2004, Corollary 1) case 3, mu = (17.86, -10.54, -2.29, -13.65, -2.53),
nu = (101.68, 39.52, 0.66, 50.91, 0.56). Up to 1.0.7 the Pedroni (1999,
Table 2) row for two regressors with trend was used. The internal “none”
case holds Corollary 1 case 1. The warning attached to these cases is
removed.xtpedroni(): Pedroni (1999, Table 2) cell for three
regressors, heterogeneous intercepts, panel t mean is -2.576 (was
-2.567); it enters the panel PP t and panel ADF t for
k = 3, trend = FALSE.xtkao(): the ADF t statistic uses
s_v^2 = RSS / (N T) with T the number of
periods of the DF step, as in Kao (1999, p. 9-10). Up to 1.0.7 the
residual sum of squares was divided by the number of ADF observations
N (T - p). On the Stata reference panel the standardized
ADF t now differs from xtcointtest kao by -0.009 to -0.19
(was +0.02 to +0.14); the other four Kao statistics and all seven
Pedroni statistics are unchanged and agree with Stata within 1e-6.xtpretest(), module HETEROGENEITY: the Swamy statistic
is centred on the 1/s_ii weighted pooled estimator of Swamy
(1970, eq. 6.2); up to 1.0.7 it was centred on the unweighted
fixed-effects estimator. The returned list gains
beta_hat.xtpretest(): rows with missing values in the response
or regressors stop the function with an error giving their number and
positions; up to 1.0.7 the F statistics were NA but printed
as F = 0.0000, p = 1.0000 [accept] with a
recommendation.xtpretest(): regressor columns exactly collinear with
the others are removed with a warning naming them and K is
the rank of the pooled design (returned as dropped); up to
1.0.7 K counted the aliased column and the degrees of
freedom and F statistics were wrong.xtpretest(): fewer than two panels, or a panel with
fewer than K + 2 observations, stop the function with an
error naming the panels; up to 1.0.7 short panels were skipped in
S1 while the degrees of freedom kept N.xtpretest(), modules HSIAO and HETEROGENEITY: an
individual regression that is rank deficient (a regressor constant
within one panel) stops the module with a message naming the panel,
recorded in failed; up to 1.0.7 lm.fit fitted
the reduced-rank design silently (HSIAO) or the panel contributed 0 to
the Swamy statistic.xtpretest(), xtpedroni(),
xtkao(): formula terms are evaluated with
model.frame() and model.matrix(), so
log(x), I(x^2) and interactions work; each
model-matrix column is one regressor.xtpedroni(), xtkao(): missing values are
reported with their count and row positions; a warning is issued when
N < 2 or when the panel has fewer than 10 periods;
xtkao() warns with more than seven regressors.xtpretest(), module ROBUST: the printed output and the
man page state the simulated size of the HC1 Wald slope test under a
true null (33.4 percent for N = 10, T = 20, from 8000 replications; 64.8
percent for N = 25, T = 20; 15.4 percent for N = 10, T = 50; 11.8
percent for N = 25, T = 100, the last three from 500 replications each;
nominal 5 percent) and refer to the classical F test or a bootstrap. The
estimator is unchanged.xtpretest() are
mapped to Hsiao (2014) eqs. (2.2.14), (2.2.15), (2.2.16), there named
F3, F1, F4; the CD module is documented as using fixed-effects residuals
with pairwise-complete overlaps; the Stata conventions kept in
xtpedroni() (demeaned DF residuals, weighted s*^2 in the
panel ADF t) and xtkao() (AR(1) residual innovations, T0 -
1 fixed-effects sample) are stated as package choices.xtpretest() prints the installed package
version.xtcsdq() and
xtqsh() use “and” instead of “&” between author
names.pnorm(); Kao ADF t rebuilt with lm.fit();
Swamy statistic rebuilt by hand with lm(); Hsiao F2 with a
collinear column rebuilt with lm(); errors for missing
values, N = 1, short panels and rank-deficient panels; formula terms.
The test .xmp_locf fills forward correctly referenced the
retired namespace xtmispanel::: and now uses
paneltests:::. The Stata agreement test for the Kao ADF t
allows the documented gap (0.02 on the tested specification).inst/validation/: derivation ledgers for
xtpretest(), xtpedroni() and
xtkao().inst/CITATION version updated to 1.0.8.xtpedroni() and xtkao(): the
seven Pedroni (1999, 2004) and five Kao (1999) residual-based panel
cointegration statistics, following the formulas of the Stata manual
entry for xtcointtest and its sample conventions (DF and
ADF regressions without constant, demeaned residuals for the
contemporaneous and Bartlett long-run variances, sums over the
differenced sample; Pedroni moments from Pedroni (2004) for one
regressor and Pedroni (1999, Table 2) for two to seven regressors;
one-sided p-values from the absolute value of the standardized
statistic). With the same kernel bandwidth and ADF lag, all seven
Pedroni statistics and four of the five Kao statistics reproduce Stata
19.5 to at least 1e-6 on a six-country panel (four specifications,
bandwidths 0, 1 and 2). The Kao ADF t is larger in absolute value in
Stata by 0.02 to 0.25; its internal convention could not be identified.
Stata’s default Newey-West (1994) per-panel bandwidth is not reproduced;
pass kernel_lags.xtpretest(), module ROBUST: the interacted design
matrix included the regressors together with the interactions of all N
panels, which are exactly collinear (the N interactions of a regressor
sum to the regressor itself). solve(crossprod(X)) therefore
failed with “system is computationally singular” on every data set, and
because the error was not caught it aborted the remaining modules when
tests = "ALL". The module now uses deviations from the
first panel (N-1 dummies and (N-1)K interactions), so the slope test has
(N-1)K restrictions as in Hsiao’s F2 and the intercept test N-1
restrictions. Aliased columns (for example a regressor constant within a
panel) are dropped and reported in robust$aliased.crossprod(X * e^2), which is sum e^4 x x'; it
is now sum e^2 x x'. The inverse uses a QR
decomposition.xtpretest() runs inside
tryCatch(); a failing module is skipped with a message and
recorded in the new element failed instead of stopping the
function.'xtpretest' became xtpretest().inst/CITATION
and from R/xtcsdq.R, R/xtmispanel.R,
R/xtqsh.R. The BOM in inst/CITATIONwas causing
the CRAN incoming auto-check to fail with:
Invalid citation information in 'inst/CITATION': 1:1: unexpected input.inst/CITATION with
DESCRIPTION.doi:10.xxx
format.xtpretest),xtmispanel),xtcsdq),xtqsh).These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.
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