NIPA_agg_9


A dataset containing an aggregate of the National Income and Product Account monthly data


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)<doi:10.1111/j.1468-0262.2004.00528.x> includes
valid pooling methods that allow panel tests to be constructed.
PANIC (2004) can detect whether the nonstationarity in a series is
pervasive, or variable specific, or both.
PANIC (2010) <doi:10.1017/s0266466609990478> includes
two new tests on the idiosyncratic component that estimates the pooled
autoregressive coefficient and sample moment, respectively. The PANIC
model approximates the number of factors based on
Bai and Ng (2002) <doi:10.1111/1468-0262.00273>.

Steve Bronder

PANICr

PANIC Tests of Nonstationarity

NIPA_agg_9 function

An xts object with 677 rows and 232 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

NIPA_agg_9: NIPA Aggregate Level 9

Description

Arguments

Format

Source