jwl_panicadj

Purpose

Panel analysis of idiosyncratic and common components (PANIC) test of nonstationarity. Computes the Ze and Ze+ tests in Westerlund & Larsson (2009).

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.

    1

    Schwarz.

    2

    t-stat significance.

  • 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
  • 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);

Source

pd_panic.src