PANIC Tests of Nonstationarity

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) .




Reference manual

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1.0.0 by Steve Bronder, 2 years ago,

Browse source code at

Authors: Steve Bronder <[email protected]>

Documentation:   PDF Manual  

Task views: Econometrics

GPL-3 license

Imports MCMCpack, xts, coda

Suggests knitr, testthat

See at CRAN