Jose,
this is not the list for asking questions like this. You should ask on
R-help or (alternatively!) R-SIG-Finance would be a good place to ask.
I could not find a package to run panel data unit root tests in R
(there's a STATA module, though - PANELUNIT- and routines for Sarno and
Taylor's MADF test, Levin-Lin-Chu's test, Im-Pesaran-Shin's Test, etc,
to do this).
Hence, I am toying with the idea of having a go at writing up one for R,
but would like to know whether anyone is already working on this.
I think that there's currently no package for this on CRAN but I might be
wrong. But there's a chance that someone on the SIG has code for this...
Best,
Z
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