poolcoint

A matrix containing the adf test to be pooled

An integer for the number of factors determined by getnfac()


This function find the P values for the pooled cointegration test in PANIC (2010)


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>.

poolcoint: Pooling Function for Cointegration test PANIC (2004)

Description

Usage

Arguments

Value