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PANICr

PANIC Tests

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Install

install.packages('PANICr')

Monthly Downloads

32

Version

1.0.0

License

GPL-3

Issues

2

Pull Requests

0

Stars

2

Forks

1

Maintainer

Steve Bronder

Last Published

September 24th, 2016

Functions in PANICr (1.0.0)

adfnc

ADF test critical values for PANIC (2004) idiosyncratic test
adfc2

ADF critical values for PANIC (2004) demeaned data
glsd

General Least Squares Detrending
getnfac

Determining The Number of Factors In Approximate Factor Model
lagn

Create lags for matrix
adfp

Generalized Least Squares Modified Dickey-Fuller t test
adf

ADF test for PANIC (2010)
coint0

Cointegration test critical values for PANIC (2004)
lm1

KPSS test critical values for PANIC (2004) idiosyncratic test
adf04

ADF test for PANIC (2004)
nw

Bandwidth Selection
minindc

Create an Index of lowest values of each column
nuisance

Estimate the nuisance parameters of the error term
MCMCpanic10

MCMC PANIC (2010) Sample Moment and PAC tests for Idiosyncratic Component
MCMCpanic04

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

PANIC (2004) Non-Stationarity Tests on Common and Idiosyncratic Components
NIPA_agg_9

NIPA Aggregate Level 9
mydiff

Difference a matrix
myols

Beta Coefficients for standard OLS
NIPA_agg_5

NIPA Aggregate Level 5
pool

Pooling Function for PANIC (2010)
panic10

PANIC (2010) Sample Moment and PAC tests for Idiosyncratic Component
poolcoint

Pooling Function for Cointegration test PANIC (2004)
pc

Principle Component Analysis for PANIC (2004)
trimr

Trim dataset
s2ar

Finding optimal lag for dfgls test