panic10: PANIC (2010)

Description

This function performs the tests of PANIC (2010).

Usage

panic10(x, nfac, k1, jj, demean)

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 to .5.

demean

logical argument. If TRUE, function performs tests on demeaned data. If FALSE, uses non-demeanded data generating process.

Value

rho1 Estimation of the Pooled Autoregressive Coefficient.Model This function shows MP models A, B, and C. A assumes no deterministic component. B assumes a constant and allows for a fixed effect. C allows a fixed effect and trend.MP.tests If demean is false, a matrix containing results for models A and B. If demean is true, returns results for Pa, Pb, and Model Ctest.C.P A matrix containing the Pooled tests as well as Model C.extra.test If demean is false, a matrix containing results PMSB test with fixed effects, rho, and the original ADF test on the idiosyncratic component from PANIC (2004). If demean is true, returns results for PMSB test with fixed effects and trend, rho, and original LM test on idiosyncratic component from PANIC (2004)

References

Bai, Jushan, and Serena Ng. 'Panel Unit Root Tests With Cross-Section Dependence: A Further Investigation.' Econometric Theory 26.04 (2010): 1088-1114. Print.