mydiff

An integer of the length of difference to perform on each vector of the NxT matrix.


This function differences an entire matrix by some defined
constant k.


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>.

mydiff: Difference a matrix

Description

Usage

Arguments

Value