adfp

An integer value of either 0 or 1. 0 uses the MAIC, a penalty on
k that accounts for the bias in the sum of the autoregressive coefficient.
 1 uses the more general form MIC.

penalty

An integer of the maximum number of lags for the vector autoregressions. An
upper bound of (12*(T/100)^.25)^8 is suggested
in Schwert (1989)

kmax

An integer of the minimum number of lags for the vector autoregression. k = 0
is a reasonable point.

kmin

An integer with value of either 0 or -1. a value of -1 will modify the series
with a generalized least squares regression.


This function performs a modified Dickey-Fuller t test for a
unit root in which the series has been modified by a generalized least
squares regression.


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>.

adfp: Generalized Least Squares Modified Dickey-Fuller t test

Description

Usage

Arguments

Value