Learn R Programming
⚠️There's a newer version (1.0.0) of this package.Take me there.

PANICr

PANIC Tests

October 25th, 2014: Corrected documentation

February 5th, 2015:

  • Fixed bug and reduced memory usage in functions that perform power tests.

  • Corrected documentation.

  • Moved vignette to personal website due to long writing time.

Copy Link

Version

Install

install.packages('PANICr')

Monthly Downloads

32

Version

0.0.0.5

License

GPL-3

Maintainer

Steve Bronder

Last Published

February 5th, 2015

Functions in PANICr (0.0.0.5)

lm1

KPSS test critical values for PANIC (2004) idiosyncratic test
minindc

Create an Index of lowest values of each column for a matrix
NIPAagg3

NIPA Aggregate Level 3
panic04

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

Create lags for matrix
adf

ADF test for PANIC (2010)
mydiff

Difference a matrix
adfc2

ADF critical values for PANIC (2004) demeaned data
panic10

PANIC (2010)
adfnc

ADF test critical values for PANIC (2004) idiosyncratic test
pool

Pooling Function for PANIC (2010)
nuisance

Estimate the nuisance parameters of the error term
glsd

General Least Squares Detrending
trimr

Trim dataset
nw

Bandwidth selection
pc

Principle Component Analysis for PANIC (2004)
getnfac

Determining The Number of Factors In Approximate Factor Model
s2ar

Finding optimal lag for dfgls test
NIPAagg1

NIPA Aggregate Level 1
coint0

Cointegration test critical values for PANIC (2004)
NIPAagg2

NIPA Aggregate Level 2
poolcoint

Pooling Function for Cointegration test PANIC (2004)
adfp

Generalized Least Squares Modified Dickey-Fuller t test
MCMCpanic10

MCMC PANIC (2010) Power Test
myols

Beta Coefficients for standard OLS
adf04

ADF test for PANIC (2004)
MCMCpanic04

PANIC (2004) Power Test