PANICr: PANIC Tests of Nonstationarity

A methodology that makes use of the factor structure of large dimensional panels to understand the nature of nonstationarity inherent in data. This is referred to as PANIC, Panel Analysis of Nonstationarity in Idiosyncratic and Common Components. PANIC (2004)<doi:10.1111/j.1468-0262.2004.00528.x> includes valid pooling methods that allow panel tests to be constructed. PANIC (2004) can detect whether the nonstationarity in a series is pervasive, or variable specific, or both. PANIC (2010) <doi:10.1017/s0266466609990478> includes two new tests on the idiosyncratic component that estimates the pooled autoregressive coefficient and sample moment, respectively. The PANIC model approximates the number of factors based on Bai and Ng (2002) <doi:10.1111/1468-0262.00273>.

Author
Steve Bronder <sbronder@stevebronder.com>
Date of publication
2016-09-24 13:01:08
Maintainer
Steve Bronder <sbronder@stevebronder.com>
License
GPL-3
Version
1.0.0
URLs

View on CRAN

Man pages

adf
ADF test for PANIC (2010)
adf04
ADF test for PANIC (2004)
adfc2
ADF critical values for PANIC (2004) demeaned data
adfnc
ADF test critical values for PANIC (2004) idiosyncratic test
adfp
Generalized Least Squares Modified Dickey-Fuller t test
coint0
Cointegration test critical values for PANIC (2004)
getnfac
Determining The Number of Factors In Approximate Factor Model
glsd
General Least Squares Detrending
lagn
Create lags for matrix
lm1
KPSS test critical values for PANIC (2004) idiosyncratic test
MCMCpanic04
PANIC (2004) MCMC Non-Stationarity Tests on Common and...
MCMCpanic10
MCMC PANIC (2010) Sample Moment and PAC tests for...
minindc
Create an Index of lowest values of each column
mydiff
Difference a matrix
myols
Beta Coefficients for standard OLS
NIPA_agg_5
NIPA Aggregate Level 5
NIPA_agg_9
NIPA Aggregate Level 9
nuisance
Estimate the nuisance parameters of the error term
nw
Bandwidth Selection
panic04
PANIC (2004) Non-Stationarity Tests on Common and...
panic10
PANIC (2010) Sample Moment and PAC tests for Idiosyncratic...
pc
Principle Component Analysis for PANIC (2004)
pool
Pooling Function for PANIC (2010)
poolcoint
Pooling Function for Cointegration test PANIC (2004)
s2ar
Finding optimal lag for dfgls test
trimr
Trim dataset

Files in this package

PANICr
PANICr/inst
PANICr/inst/test_data
PANICr/inst/test_data/test_10_ndm.RData
PANICr/inst/test_data/test_10_dm.RData
PANICr/inst/test_data/test_dat.Rdata
PANICr/inst/test_data/test_04.RData
PANICr/inst/doc
PANICr/inst/doc/PANICr.R
PANICr/inst/doc/PANICr.html
PANICr/inst/doc/PANICr.Rmd
PANICr/tests
PANICr/tests/testthat.R
PANICr/tests/testthat
PANICr/tests/testthat/test_panic_io.R
PANICr/NAMESPACE
PANICr/data
PANICr/data/adfc2.rda
PANICr/data/NIPA_agg_9.rda
PANICr/data/coint0.rda
PANICr/data/NIPA_agg_5.rda
PANICr/data/lm1.rda
PANICr/data/datalist
PANICr/data/adfnc.rda
PANICr/R
PANICr/R/cPANIC.r
PANICr/R/adf04.r
PANICr/R/MCMCpanic10.R
PANICr/R/NIPAagg5.R
PANICr/R/NIPA_agg_9.R
PANICr/R/mydiff.r
PANICr/R/poolcoint.R
PANICr/R/panic_generics.R
PANICr/R/MCMCfacstuffzzz.R
PANICr/R/myols.r
PANICr/R/adfp.r
PANICr/R/pool10.r
PANICr/R/nuisance.r
PANICr/R/panic10b.r
PANICr/R/getnfac.r
PANICr/R/lagn.R
PANICr/R/sysdata.rda
PANICr/R/coint0.R
PANICr/R/pc.R
PANICr/R/minindc.r
PANICr/R/glsd.r
PANICr/R/s2ar.r
PANICr/R/trimr.r
PANICr/R/adf10.r
PANICr/R/lm1.R
PANICr/R/nw.r
PANICr/R/adfnc.R
PANICr/R/adfc2.R
PANICr/vignettes
PANICr/vignettes/NIPAagg3.rda
PANICr/vignettes/PANICr.Rmd
PANICr/vignettes/NIPAagg2.rda
PANICr/vignettes/NIPAagg1.rda
PANICr/README.md
PANICr/MD5
PANICr/build
PANICr/build/vignette.rds
PANICr/DESCRIPTION
PANICr/man
PANICr/man/getnfac.Rd
PANICr/man/trimr.Rd
PANICr/man/coint0.Rd
PANICr/man/myols.Rd
PANICr/man/pool.Rd
PANICr/man/MCMCpanic04.Rd
PANICr/man/s2ar.Rd
PANICr/man/lm1.Rd
PANICr/man/adf04.Rd
PANICr/man/nw.Rd
PANICr/man/minindc.Rd
PANICr/man/mydiff.Rd
PANICr/man/nuisance.Rd
PANICr/man/adf.Rd
PANICr/man/glsd.Rd
PANICr/man/NIPA_agg_5.Rd
PANICr/man/adfp.Rd
PANICr/man/panic04.Rd
PANICr/man/panic10.Rd
PANICr/man/lagn.Rd
PANICr/man/adfc2.Rd
PANICr/man/pc.Rd
PANICr/man/MCMCpanic10.Rd
PANICr/man/NIPA_agg_9.Rd
PANICr/man/adfnc.Rd
PANICr/man/poolcoint.Rd