f_bounds_sim: Critical value bounds stochastic simulation for Wald...

In ARDL: ARDL, ECM and Bounds-Test for Cointegration

Critical value bounds stochastic simulation for Wald bounds-test for no cointegration

Description

f_bounds_sim simulates the critical value bounds for the Wald bounds-test for no cointegration Pesaran et al. (2001) expressed both as F-statistics and as Chisq-statistics.

Usage

f_bounds_sim(case, k, alpha, T, R = 40000)

Arguments

case	An integer from 1-5 specifying whether the 'intercept' and/or the trend' have to participate in the long-run/cointegrating relationship/equation (see section 'Cases' in bounds_f_test).
k	The number of independent variables.
alpha	A numeric vector between 0 and 1 indicating the significance level of the critical value bounds. Multiple values can be used.
T	An integer indicating the number of observations.
R	An integer indicating how many iterations will be used. Default is 40000.

Value

f_bounds_sim returns a list containing two data frames. One with the critical value bounds for the F-statistic and one with the critical value bounds for the Chisq-statistic.

Author(s)

Kleanthis Natsiopoulos, [e-mail]

See Also

t_bounds_sim bounds_f_test

ARDL documentation built on Aug. 21, 2023, 9:10 a.m.