Title

xtflexur -- Factor-augmented, break- and Fourier-robust panel
time-series tests

Description

xtflexur is a library of second-generation panel time-series tests built on a
common factor-extraction engine (the PANIC approach of Bai & Ng): common
factors are estimated by principal components and removed, so the tests are robust
to strong cross-sectional dependence of an unknown form. Commands read the panel
from xtset, return everything in r(), and ship cross-linked help with
a companion methods page.

Its single-series counterpart is the flexur library.

Commands

command

Panel unit root (factor-based)
xtpanic PANIC panel unit root test (Bai & Ng 2004): tests the
idiosyncratic component after removing common factors

xtfpanic Fourier-PANIC: PANIC with smooth (Fourier) structural
breaks and common factors (Nazlioglu et al. 2023)

Related second-generation panel tests with structural breaks, stationarity
combination tests and factor-corrected causality are in the companion
xtpdroot library (xtpstat, xtbreaklm,
xtfaclm, xtpanicsb, xtpdcause). The single-series
counterparts are in flexur and ffrals.

Common conventions

o Panel and time dimensions are read from xtset; a strongly balanced
panel is required.

o Every reported quantity is stored in r() for tabulation.

o Each command has a companion methods page: help cmd methods.

Author

Dr Merwan Roudane

merwanroudane920@gmail.com

github.com/merwanroudane