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 Idiosyncratic Components |
MCMCpanic10 |
MCMC PANIC (2010) Sample Moment and PAC tests for Idiosyncratic Component |
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 Idiosyncratic Components |
panic10 |
PANIC (2010) Sample Moment and PAC tests for Idiosyncratic Component |
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 |