adf04

An integer specifying the maximum lag order for individual
ADF regressions. Bai and Ng (2004) suggest 4*(Time/100)^(.25) rounded
to the nearest whole number as the maximum number of lags.

An integer of value either 0 or 1. p is the order of the deterministic
function in the regression. 0 is for constant only and 1 is to include a trend.


This function performs the ADF tests on the idiosyncratic and common components
for PANIC (2004).


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>.

adf04: ADF test for PANIC (2004)

Description

Usage

Arguments

Value