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PANICr
PANIC Tests
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Version
1.0.0
0.1.3
0.0.0.5
0.0.0.2
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Install
install.packages('PANICr')
Monthly Downloads
40
Version
1.0.0
License
GPL-3
Issues
2
Pull Requests
0
Stars
1
Forks
0
Repository
https://github.com/Stevo15025/PANICr
Homepage
stevebronder.com
Maintainer
Steve Bronder
Last Published
September 24th, 2016
Functions in PANICr (1.0.0)
Search functions
adfnc
ADF test critical values for PANIC (2004) idiosyncratic test
adfc2
ADF critical values for PANIC (2004) demeaned data
glsd
General Least Squares Detrending
getnfac
Determining The Number of Factors In Approximate Factor Model
lagn
Create lags for matrix
adfp
Generalized Least Squares Modified Dickey-Fuller t test
adf
ADF test for PANIC (2010)
coint0
Cointegration test critical values for PANIC (2004)
lm1
KPSS test critical values for PANIC (2004) idiosyncratic test
adf04
ADF test for PANIC (2004)
nw
Bandwidth Selection
minindc
Create an Index of lowest values of each column
nuisance
Estimate the nuisance parameters of the error term
MCMCpanic10
MCMC PANIC (2010) Sample Moment and PAC tests for Idiosyncratic Component
MCMCpanic04
PANIC (2004) MCMC Non-Stationarity Tests on Common and Idiosyncratic Components
panic04
PANIC (2004) Non-Stationarity Tests on Common and Idiosyncratic Components
NIPA_agg_9
NIPA Aggregate Level 9
mydiff
Difference a matrix
myols
Beta Coefficients for standard OLS
NIPA_agg_5
NIPA Aggregate Level 5
pool
Pooling Function for PANIC (2010)
panic10
PANIC (2010) Sample Moment and PAC tests for Idiosyncratic Component
poolcoint
Pooling Function for Cointegration test PANIC (2004)
pc
Principle Component Analysis for PANIC (2004)
trimr
Trim dataset
s2ar
Finding optimal lag for dfgls test