panic04: PANIC (2004) Non-Stationarity Tests on Common and Idiosyncratic Components

Description

This function performs PANIC (2010) Model C, PAC, and PMSB tests. PAC estimates the pooled autoregressive coefficient, PMSB uses a sample moment, and Model C performs the MP test while projecting on intercept and trend. The sample moments test is based off of the modified Sargan-Bhargava test (PMSB).

Usage

panic04(x, nfac, k1, jj)

Arguments

A NxT matrix containing the data

nfac

An integer specifying the maximum number of factors allowed while estimating the factor model.

The maximum lag allowed in the ADF test.

an Integer 1 through 8. Choices 1 through 7 are respectively, IC(1), IC(2), IC(3), AIC(1), BIC(1), AIC(3), and BIC(3), respectively. Choosing 8 makes the number of factors equal to the number of columns whose sum of eigenvalues is less than or equal t

Value

adff A data frame containing pooled demeaned critical values, demeaned error term critical values ,demeaned and detrended critical values ,R squared for principle component , And the significance of the error components. adf.ind A matrix containing the critical values for the pooled Demeaned ADF test on the data, the pooled ADF test on the common components, the pooled demeaned ADF test on the Idiosyncratic component, and the pooled first differenced and demeaned ADF test on the Idiosyncratic component.

References

Bai, Jushan, and Serena Ng. "A PANIC Attack on Unit Roots and Cointegration." Econometrica 72.4 (2004): 1127-1177. Print.