Description Usage Arguments Value
This function performs the ADF tests on the idiosyncratic and common components for PANIC (2010).
1 | adf(y,k,p)
|
y |
An NxT matrix of data. |
k |
An integer specifying the maximum lag order for individual ADF regressions. Bai and Ng (2004) suggest 4*(Time)^(.25) rounded to the nearest whole number as the maximum number of lags. |
p |
An integer that is either 0 or 1. p is the order of the deterministic function in the regression. 0 is for constant only and 1 is to include a trend. |
tstat A vector of t statistics for each column of the input matrix
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