A methodology that makes use of the factor structure of large dimensional panels to understand the nature of nonstationarity inherent in data. This is referred to as PANIC, Panel Analysis of Nonstationarity in Idiosyncratic and Common Components. PANIC (2004) includes valid pooling methods that allow panel tests to be constructed. PANIC (2004) can detect whether the nonstationarity in a series is pervasive, or variable specific, or both. PANIC (2010) includes two new tests on the idiosyncratic component that estimates the pooled autoregressive coefficient and sample moment, respectively. The PANIC model approximates the number of factors based on Bai and Ng (2002) .

Maintainer: Steve Bronder <sbronder at stevebronder.com>

Author(s): Steve Bronder <sbronder at stevebronder.com>

Install package and any missing dependencies by running this line in your R console:

install.packages("PANICr")

Depends R(>= 2.10.0)
Imports MCMCpack, xts, coda
Suggests knitr, testthat
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Package PANICr
Materials
URL stevebronder.com https://github.com/Stevo15025/PANICr
Task Views Econometrics
Version 1.0.0
Published 2016-09-24
License GPL-3
BugReports
SystemRequirements
NeedsCompilation no
Citation
CRAN checks PANICr check results
Package source PANICr_1.0.0.tar.gz