NIPAagg2

A dataset containing an aggregate of the National Income and Product Account monthly data

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)

Steve Bronder

PANICr

PANIC Tests of Nonstationarity

NIPAagg2 function

A data frame with 648 rows and 45 columns. All columns are numeric with titles above

format

http://www.bea.gov/iTable/iTable.cfm?ReqID=12&step=1#reqid=12&step=1&isuri=1

NIPAagg2: NIPA Aggregate Level 2

Description

Arguments

format

source