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);

Source¶

pd_panic.src

1	Constant.
2	Constant and trend.