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 unit root tests
tests to be constructed. PANIC (2004) can detect whether the
nonstationarity in a series is pervasive, or variable specific, or both.
PANIC (2010) includes the Panel Modified Sargan-Bhargava test, three models
for a Moon and Perron style test, and a bias correction for the
idiosyncratic unit root test of PANIC (2004). 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

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Format

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