The following features have been added to the PANEL procedure:
The panel unit root tests have been added to test the hypothesis of a unit root. Several different specifications including six groups of deterministic variables, lag specifications, and kernel and bandwith specifications can be calculated for each test. The tests include the following:
Breitung’s unbiased tests
Hadri’s stationarity test
Harris and Tzavalis test
Im, Pesaran, and Shin test
Levin, Lin, and Chu test
Maddala and Wu and Choi combination tests
Poolability tests for panel data models including F test and LR tests
The heteroscedasticity- and autocorrelation-consistent (HAC) covariance matrix estimator is supported, which consistently estimates the covariance matrix even when the heteroscedasticity and autocorrelation structure might be unknown or misspecified. Five types of kernel functions—Bartlett, Parzen, quadratic spectral, truncated, and Tukey-Hanning kernels—are supported. The bandwidth parameter can be estimated with the Andrews method, Newey-West method, and sample size based method, or a fixed value for the bandwidth can be provided. The prewhitening feature is also available with the HAC option. The well-known Newey-West estimator is also supported.