documenation for Hadri's panel unit root test

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documenation for Hadri's panel unit root test

Postby Gude » Sat Sep 30, 2017 1:54 am

In the documentation for Hadri's panel unit root test ( ... ng.html%23), there is likely a typo in formula (38.63):

In Hadri (2000) we see zeta is actually squared in the respecitve formulae. That would give values for zeta as sqrt(11/6300) or sqrt(1/45).
Baltagi's text book is missing the squaring as well, so maybe it is a typo in the original Hadri (2000) paper?

(Baltagi, Econometric Analysis of Panel Data (5th ed) in chapter 12.2.5 about Hadri's test on p. 285 in the last line and on p. 286 on the first line: Both zetas are squared in Hadri (2000), see formulae 17 and 22 there. That is, one would plug in the values sqrt(1/45) and sqrt(11/6300) in the calculation of the statistic, not 1/45 and 11/6300, respectively.)

Which values for zeta are correct?
Which values does EViews actually use in its computation? (I use EViews 9.5).

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