FCVARrankTests | R Documentation |

`FCVARrankTests`

performs a sequence of likelihood ratio tests
for cointegrating rank.

FCVARrankTests(x, k, opt)

`x` |
A matrix of variables to be included in the system. |

`k` |
The number of lags in the system. |

`opt` |
An S3 object of class |

An S3 object of type `FCVAR_ranks`

containing the results
from cointegrating rank tests, containing the following `(p+1)`

vectors
with `i`

th element corresponding to `rank = i-1`

,
including the following parameters:

`dHat`

Estimates of

`d`

.`bHat`

Estimates of

`b`

.`LogL`

Maximized log-likelihood.

`LRstat`

LR trace statistic for testing rank

`r`

against rank`p`

.`pv`

The p-value of LR trace test, or "999" if p-value is not available.

`k`

The number of lags in the system.

`p`

The number of variables in the system.

`cap_T`

The sample size.

`opt`

An S3 object of class

`FCVAR_opt`

that stores the chosen estimation options, generated from`FCVARoptions()`

.

`FCVARoptions`

to set default estimation options.
`FCVARestn`

is called repeatedly within this function
for each candidate cointegrating rank.
`summary.FCVAR_ranks`

prints a summary of the output of `FCVARrankTests`

to screen.

Other FCVAR specification functions:
`FCVARbootRank()`

,
`FCVARlagSelect()`

,
`summary.FCVAR_lags()`

,
`summary.FCVAR_ranks()`

opt <- FCVARoptions() opt$gridSearch <- 0 # Disable grid search in optimization. opt$dbMin <- c(0.01, 0.01) # Set lower bound for d,b. opt$dbMax <- c(2.00, 2.00) # Set upper bound for d,b. opt$constrained <- 0 # Impose restriction dbMax >= d >= b >= dbMin ? 1 <- yes, 0 <- no. x <- votingJNP2014[, c("lib", "ir_can", "un_can")] rankTestStats <- FCVARrankTests(x, k = 2, opt)

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