jwr_panicca¶
Purpose¶
Computes the Pooled Pa, Pb, and PMSB tests in Westerlund & Reese (2016) using panel analysis of idiosyncratic and common components (PANIC) test of nonstationarity.
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);