Hello,
My question about Pesaran, M.H. (2007)'s CIPS test. In R, we can test via cipstest command. I was trying to regenerate the critical values of this test. I took test statistic via cipstest commad. However, my critical values are always smaller than the original ones.
I just wanted to be sure from my data-generating process and wrote code in GAUSS. I got the same results as the original paper.
After that, using the same data set, model, and lag length R's cipstest gives different results from Eviews, Stata (pescadf), and GAUSS (tspdlib library). All of these programs provide the same result. I wonder why this difference.
Thank you,
Hello,
My question about Pesaran, M.H. (2007)'s CIPS test. In R, we can test via cipstest command. I was trying to regenerate the critical values of this test. I took test statistic via cipstest commad. However, my critical values are always smaller than the original ones.
I just wanted to be sure from my data-generating process and wrote code in GAUSS. I got the same results as the original paper.
After that, using the same data set, model, and lag length R's cipstest gives different results from Eviews, Stata (pescadf), and GAUSS (tspdlib library). All of these programs provide the same result. I wonder why this difference.
Thank you,