Question: Does anyone know if (and how) it is possible to perform an Im/Pesaran/Shin Test for stationarity with SAS? Does anyone maybe have a code?

Answer:

I haven't seen any such code. But there are stationarity tests in SAS already. Depending on what you want to model...

If you really want Pesaran's Generalized Impulse Response Analysis test, then I suggest that you look at his in Microfit, which he wrote to do this. If you want to program this yourself in SAS, here are a couple references:

Koop, G., Pesaran, H., Potter, S. (1996) Impulse Response Analysis in Nonlinear Multivariate Models, Journal of Econometrics, vol 74, p119-147.

Pesaran, H., Shin, Y. (1998) Generalized Impulse Response Analysis in Linear Multivariate Models, Economics Letters, vol 58, p 17-29.

And if you *do* program this yourself in SAS, please show SAS-L your code, or submit it in a paper to SUGI or something similar...

Attached is Latest TSP Examples provided by Stanford University. Could you please let me know whether it is working in your Eviews (In my understanding, Eviews is just Windownized TSP and I have used TSP for a while).

gir (V) Generalized Impulse Response - invariant to equation order. Reproduces results in Pesaran and Shin (1998) with KPSW data.