nuisance

A matrix consisting of the residuals from a factor model.

If fixk is 0, then automatic bandwidth selection is performed.
Otherwise, the integer placed here will be the selected bandwidth.


This function estimates the short-run, long-run, and one sided
variance of the error term


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).

nuisance: Estimate the nuisance parameters of the error term

Description

Usage

Arguments

Value