jwl_panicadj#

Purpose#

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

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.

2

Schwarz.

3

t-stat significance.
kmax (Scalar) – Maximum number of factors (upper bound is 5). 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

1	Constant.
2	Constant and trend.

1	Akaike.
2	Schwarz.
3	t-stat significance.

1	PCp criterion.
2	ICp criterion.