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

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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

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