jwr_panicca

Purpose

Panel analysis of idiosyncratic and common components (PANIC) test of nonstationarity. Computes the Pooled Pa, Pb, and PMSB tests in Westerlund & Reese (2016).

Format

{ Pa_ca, Pb_ca, PMSB_ca } = jwr_panicca(y, model)
Parameters
  • y (TxN matrix) – Panel data to be tested.

  • model (Scalar) –

    Model to be implemented.

    1

    Constant.

    2

    Constant and trend.

Returns
  • Pa_ca (Scalar) – Pa statistic based on cross-section averages with N(0,1).

  • Pb_ca (Scalar) – Pb statistic based on cross-section averages with N(0,1).

  • PMSB_ca (Scalar) – PMSB statistic based on cross-section averages with N(0,1).

Examples

library tspdlib;

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

/*
** Model with constant
*/
model = 1;
{ Pa_ca, Pb_ca, PMSB_ca } = jwr_panicca(y, model);

Source

pd_panic.src