PANIC Tests of Nonstationarity
Description
This package contains a methodology that makes use of the factor
structure of large dimensional panels to understand the nature of
nonstationarity inherent in data. This is referred to as PANIC - Panel
Analysis of Nonstationarity in Idiosyncratic and Common Components. PANIC
(2004) includes valid pooling methods that allow panel tests to be
constructed. PANIC (2004) can detect whether the nonstationarity in a
series is pervasive, or variable specific, or both. PANIC (2010) includes
two new tests on the idiosyncratic component that estimates the pooled
autoregressive coefficient and sample moment, respectively. The PANIC model
approximates the number of factors based on Bai and Ng (2002)