PANICr

PANICr: PANIC Tests of Nonstationarity. This package contains 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 unit root tests tests to be constructed. PANIC (2004) can detect whether the nonstationarity in a series is pervasive, or variable specific, or both. PANIC (2010) includes the Panel Modified Sargan-Bhargava test, three models for a Moon and Perron style test, and a bias correction for the idiosyncratic unit root test of PANIC (2004). The PANIC model approximates the number of factors based on Bai and Ng (2002).