PANIC Tests of Nonstationarity


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Documentation for package ‘PANICr’ version 0.0.0.5

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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) Power Test
MCMCpanic10 MCMC PANIC (2010) Power Test
minindc Create an Index of lowest values of each column for a matrix
mydiff Difference a matrix
myols Beta Coefficients for standard OLS
NIPAagg1 NIPA Aggregate Level 1
NIPAagg2 NIPA Aggregate Level 2
NIPAagg3 NIPA Aggregate Level 3
nuisance Estimate the nuisance parameters of the error term
nw Bandwidth selection
panic04 PANIC (2004) Non-Stationarity Tests on Common and Idiosyncratic Components
panic10 PANIC (2010)
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