largevar_scel: Internal skeleton function of cointegration test for simfun...

In Largevars: Testing Large VARs for the Presence of Cointegration

Internal skeleton function of cointegration test for simfun function

Description

This is the "skeleton" version of the largevar function in the package. It is called within the sim_function function to make runtime faster. For the actual cointegration test, use the largevar function.

Usage

largevar_scel(data, k, r, fin_sample_corr)

Arguments

data	a numeric matrix where columns contain the individual time series that will be examined for presence of cointegrating relationships
k	The number of lags we wish to employ in the VECM form (default: k=1)
r	The number of cointegrating relationships we impose on the H1 hypothesis (default: r=1)
fin_sample_corr	A boolean variable indicating whether we wish to employ finite sample correction on our test statistic. Default is false.

Value

The test statistic.

Largevars documentation built on June 8, 2025, 11:18 a.m.