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);