I have panel data that I need to calculate a unit-root test on. The data is unbalanced and has gaps. Does anyone know of a library that handles unbalanced panel-data with gaps? I have tried the purtest command from the R package plm but it does not handle unbalanced panel data as has been documented here.
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Helix123
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The issue of unbalanced panel data has been addressed with version 2.2-1 of plm. The tests of Hadri and of Levin/Lin/Chu are not applicable to unbalanced data, though. – Helix123 Apr 12 '20 at 07:13