bng_panicnew¶
Purpose¶
Panel analysis of idiosyncratic and common components (PANIC) test of nonstationarity. Pooled Pa, Pb, and PMSB tests in Bai & Ng (2010).
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. Maximum = 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¶
// 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);