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Result of cipstest / lags = 0L #39
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Hi there, |
Hello, Thank you for your answer. I generated data and test it with R. Test statistic is -1.35 (for "dmg" and "mg") and -1.27 (for "cmg"). After with same generated data I tested in Stata, Eviews and GAUSS. It's -1.465 for all of them (You can find data set in txt file: data_pseudo.txt). Thanks,
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Hello. Thank you for the bug report (and thx tappek for bringing this to my attention). |
Hello @GiovanniMillo thank you for your explanation. I understand now |
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,
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