options memory=12 limwarn=0 crt ;
?
? ========================= HTEST ===============================
?
?  One Variable Time Series Process for Sales, R&D, Investment, 
?  Employmemt, and Profits.
?  Harris and Tzavalis test for unit roots.
?  HM paper August 2000.
?
?in "/us/bchm/bchm" ;
in "d:\france\bchm\bchm" ;
?in "\japan\bchm" ;
?
?  Set up the data to be used - the series is called y.
?
supres smpl ;
const t 12 ;
smpl 1 5088 ;
?select scisect ;
set nob = @nob/t ;
set t1 = t-1 ;
set b2 = -3/(t1+1) ;
set c2 = 3*(17*t1*t1-20*t1+17)/(5*(t1-1)*(t1+1)*(t1+1)*(t1+1)) ;
set c2s = sqrt(c2/nob) ;
print t1 b2 c2 c2s nob ;


dummy year yrdum ;

dot s r i l y; ? Loop over 5 variables - unit root tests will be computed for each.

  msd log. ;
  panel(nobet,novar,id=id) log. log.(-1) yrdum ;
  set phi. = @coefw(1) ;
  set htest. = (@coefw(1)-1-b2)/sqrt(c2/nob) ;

enddot ;
dot s r i l y ;
  print	phi. ;
  cdf (normal,lowtail) htest. ;
enddot ;
stop ; end ;