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) .

Browse man pages Browse package API and functions Browse package files

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

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

Functions

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

Files

inst
inst/test_data
inst/test_data/test_10_ndm.RData
inst/test_data/test_10_dm.RData
inst/test_data/test_dat.Rdata
inst/test_data/test_04.RData
inst/doc
inst/doc/PANICr.R
inst/doc/PANICr.html
inst/doc/PANICr.Rmd
tests
tests/testthat.R
tests/testthat
tests/testthat/test_panic_io.R
NAMESPACE
data
data/adfc2.rda
data/NIPA_agg_9.rda
data/coint0.rda
data/NIPA_agg_5.rda
data/lm1.rda
data/datalist
data/adfnc.rda
R
R/cPANIC.r
R/adf04.r
R/MCMCpanic10.R
R/NIPAagg5.R
R/NIPA_agg_9.R
R/mydiff.r
R/poolcoint.R
R/panic_generics.R
R/MCMCfacstuffzzz.R
R/myols.r
R/adfp.r
R/pool10.r
R/nuisance.r
R/panic10b.r
R/getnfac.r
R/lagn.R
R/sysdata.rda
R/coint0.R
R/pc.R
R/minindc.r
R/glsd.r
R/s2ar.r
R/trimr.r
R/adf10.r
R/lm1.R
R/nw.r
R/adfnc.R
R/adfc2.R
vignettes
vignettes/NIPAagg3.rda
vignettes/PANICr.Rmd
vignettes/NIPAagg2.rda
vignettes/NIPAagg1.rda
README.md
MD5
build
build/vignette.rds
DESCRIPTION
man
man/getnfac.Rd
man/trimr.Rd
man/coint0.Rd
man/myols.Rd
man/pool.Rd
man/MCMCpanic04.Rd
man/s2ar.Rd
man/lm1.Rd
man/adf04.Rd
man/nw.Rd
man/minindc.Rd
man/mydiff.Rd
man/nuisance.Rd
man/adf.Rd
man/glsd.Rd
man/NIPA_agg_5.Rd
man/adfp.Rd
man/panic04.Rd
man/panic10.Rd
man/lagn.Rd
man/adfc2.Rd
man/pc.Rd
man/MCMCpanic10.Rd
man/NIPA_agg_9.Rd
man/adfnc.Rd
man/poolcoint.Rd
PANICr documentation built on May 19, 2017, 3:42 p.m.