PANICr: PANIC Tests of Nonstationarity
Version 1.0.0

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) 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) 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) .

Package details

AuthorSteve Bronder <[email protected]>
Date of publication2016-09-24 13:01:08
MaintainerSteve Bronder <[email protected]>
LicenseGPL-3
Version1.0.0
URL stevebronder.com https://github.com/Stevo15025/PANICr
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("PANICr")

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PANICr documentation built on May 29, 2017, 5:52 p.m.