Instructions:
The included file can be used to test for unit roots in short panels with a linear trend and serial correlation using the method described in Karavias and Tzavalis 2014: “A fixed-T Version of Breitung's Panel Data Unit Root Test”. Economics Letters, http://dx.doi.org/10.1016/j.econlet.2014.04.029
A) Extract the zip file in a folder. Open matlab and set that folder as the root directory.
B) Save the data in an excel file where every row contains a different panel unit. You should have N rows and T columns.
C) Import the excel file in Matlab. Create only one matrix N by T and name it “data”. Then the matlab codes will take as input the transpose of this data matrix. Otherwise, one can simply store the data from the beggining in a T by N form and feed them to the functions below.
1) [z]=kt14_breitungcorrelation(data’,p)
The above function takes as input the transpose of matrix “data” and the order of serial correlation assumed. It returns the Z statistic which then is to be compared to critical values from a standard normal at the desired level.
The above programs seem to be free of error. Please feel free to download, modify, and use these programs. However, we (the authors) do not assume any responsibility for possibly remaining errors. Under no circumstances shall we be liable for any damages whatsoever arising out of the use of these programs or out of the inability to use these programs.