bng_panicnew#

Purpose#

Computes the pooled Pa, Pb, and PMSB tests in Bai & Ng (2010) using panel analysis of idiosyncratic and common components (PANIC) test of nonstationarity.

Format#

{ Pa_pc, Pb_pc, PMSB_pc } = bng_panicNew(y, model[, kmax, ic_factors])#
Parameters:

  • y (TxN matrix) – Panel data to be tested.

  • model (Scalar) –

    Model to be implemented.

    1

    Constant.

    2

    Constant and trend.

  • kmax (Scalar) – Maximum number of factors. Default = 5.

  • ic_factors (Scalar) –

    Information Criterion for optimal number of factors. Default = 1.

    1

    PCp criterion.

    2

    ICp criterion.

Returns:

  • Pa_pc (Scalar) – Pa statistic based on principal components with N(0,1).

  • Pb_pc (Scalar) – Pb statistic based on principal components with N(0,1).

  • PMSB_pc (Scalar) – PMSB statistic based on principal components with N(0,1).

Examples#

library tspdlib;

// Load date file
y = loadd(getGAUSSHome() $+ "pkgs/tspdlib/examples/PDe.dat");

/*
** Default
** information criterion
** and maximum number of factors.
*/

// Model with constant and trend
model = 1;
{ Pa_pc, Pb_pc, PMSB_pc } = bng_panicNew(y, model);

Source#

pd_panic.src

See also

Functions bng_panic(), jwr_panicca(), jwl_panicadj(), pd_stationary()

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