PANICr: 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)<doi:10.1111/j.1468-0262.2004.00528.x> 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) <doi:10.1017/s0266466609990478> 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) <doi:10.1111/1468-0262.00273>.

Version: 1.0.0
Depends: R (≥ 2.10.0)
Imports: MCMCpack, xts, coda
Suggests: knitr, testthat
Published: 2016-09-24
Author: Steve Bronder
Maintainer: Steve Bronder <sbronder at>
License: GPL-3
NeedsCompilation: no
Materials: README
In views: Econometrics
CRAN checks: PANICr results


Reference manual: PANICr.pdf
Vignettes: Panel Analysis of Nonstationarity in Idiosyncratic and Common Components
Package source: PANICr_1.0.0.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
OS X El Capitan binaries: r-release: PANICr_1.0.0.tgz
OS X Mavericks binaries: r-oldrel: PANICr_1.0.0.tgz
Old sources: PANICr archive


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