t_bounds_sim: Critical value bounds stochastic simulation for t-bounds test...
In ARDL: ARDL, ECM and Bounds-Test for Cointegration
View source: R/crit_val_bounds_sim.R
t_bounds_sim R Documentation
Critical value bounds stochastic simulation for t-bounds test for no
cointegration
Description
t_bounds_sim simulates the critical value bounds for the t-bounds test
for no cointegration Pesaran et al. (2001).
Usage
t_bounds_sim(case, k, alpha, T, R = 40000)
Arguments
case
An integer (1, 3 or 5) specifying whether the 'intercept' and/or
the trend' have to participate in the short-run relationship (see section
'Cases' in bounds_t_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
t_bounds_sim returns a data frame with the critical value
bounds for the t-statistic.
Author(s)
Kleanthis Natsiopoulos, klnatsio@gmail.com
See Also
f_bounds_sim bounds_t_test
ARDL documentation built on Aug. 21, 2023, 9:10 a.m.
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View source: R/crit_val_bounds_sim.R
| t_bounds_sim | R Documentation |
Critical value bounds stochastic simulation for t-bounds test for no cointegration
Description
t_bounds_sim simulates the critical value bounds for the t-bounds test
for no cointegration Pesaran et al. (2001).
Usage
t_bounds_sim(case, k, alpha, T, R = 40000)
Arguments
case |
An integer (1, 3 or 5) specifying whether the 'intercept' and/or
the trend' have to participate in the short-run relationship (see section
'Cases' in |
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
t_bounds_sim returns a data frame with the critical value
bounds for the t-statistic.
Author(s)
Kleanthis Natsiopoulos, klnatsio@gmail.com
See Also
f_bounds_sim bounds_t_test
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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