Description Usage Arguments Author(s) References Examples
FCI_CH06
Semiparametric residual-based test for fractional cointegration by Chen, Hurvich (2003).
Returns test statistic, critical value and testing decision. Null hypothesis: no fractional cointegration.
1 | FCI_CH06(X, m_peri, m, alpha = 0.05, diff_param = 1)
|
X |
data matrix. |
m_peri |
fixed positive integer for averaging the periodogram, where |
m |
bandwith parameter specifying the number of Fourier frequencies
used for the estimation, usually |
alpha |
desired significance level. Default is |
diff_param |
integer specifying the order of differentiation in order to ensure stationarity of data, where diff_param-1 are the number of differences.
Default is |
Christian Leschinski
Chen, W. W. and Hurvich, C. M. (2006): Semiparametric estimation of fractional cointegrating subspaces. The Annals of Statistics, Vol. 34, No. 6, pp. 2939 - 2979.
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