PANIC Tests of Nonstationarity


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Documentation for package ‘PANICr’ version 1.0.0

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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) 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