PANIC model by Bai and Ng 2004
Posted: Tue Jul 14, 2015 10:41 pm
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
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