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>.

AuthorSteve Bronder <sbronder@stevebronder.com>
Date of publication2016-09-24 13:01:08
MaintainerSteve Bronder <sbronder@stevebronder.com>
LicenseGPL-3
Version1.0.0
stevebronder.com
https://github.com/Stevo15025/PANICr

View on CRAN

Functions

adf Man page
adf04 Man page
adfc2 Man page
adfnc Man page
adfp Man page
coint0 Man page
getnfac Man page
glsd Man page
lagn Man page
lm1 Man page
MCMCpanic04 Man page
MCMCpanic10 Man page
minindc Man page
mydiff Man page
myols Man page
NIPA_agg_5 Man page
NIPA_agg_9 Man page
nuisance Man page
nw Man page
panic04 Man page
panic10 Man page
pc Man page
pool Man page
poolcoint Man page
s2ar Man page
trimr Man page

Files

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

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