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
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,
