PANIC model by Bai and Ng 2004

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atif_n2a
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Joined: Tue Jul 14, 2015 12:52 am

PANIC model by Bai and Ng 2004

Unread post by atif_n2a »

I want to use PANIC model by Bai and Ng (2004) Econometrica 72, 1127-1177, but I do not Know code for the RATS version 9.
1- code for determining the number of factors, for creating factor and for principle component analysis (according to Bai and Ng 2002 criteria)
2- code for unit root and cointegration
Regards
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