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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