jwl_panicadj¶
Purpose¶
Computes the Ze and Ze+ tests in Westerlund & Larsson (2009) using panel analysis of idiosyncratic and common components (PANIC) test of nonstationarity.
Format¶
-
{ Ze, Ze_ba } =
JWL_PANICadj(y, model[, pmax, ic_lags, kmax, ic_factors])¶ Parameters: - y (TxN matrix) – Panel data to be tested.
- model (Scalar) –
Model to be implemented.
1 Constant. 2 Constant and trend. - pmax (Scalar) – Optional, the maximum number of lags for \(\Delta y\). Default = 8.
- ic_lags (Scalar) –
Optional, the information criterion used for choosing lags. Default = 3.
1 Akaike. 2 Schwarz. 3 t-stat significance. - kmax (Scalar) – Maximum number of factors (upper bound is 5). Default = 5.
- ic_factors (Scalar) –
Information Criterion for optimal number of factors. Default = 1.
1 PCp criterion. 2 ICp criterion.
Returns: - Ze (Scalar) – Ze statistic based on principal components with N(0,1).
- Ze_ba (Scalar) – Bias-adjusted Ze statistic based on principal components with N(0,1).
Examples¶
library tspdlib;
// Load date file
y = loadd(__FILE_DIR $+ "PDe.dat");
// Model with constant
model = 1;
{ Ze, Ze_ba } = JWL_PANICadj(y, model);