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);