Description Usage Arguments Author(s) References Examples
FCI_MV04
Semiparametric test for fractional cointegration by Marmol, Velasco (2004).
Returns test statistic, critical value and testing decision. Null hypothesis: no fractional cointegration.
1 |
X |
data matrix. |
type |
string that is either |
N |
bandwidth parameter specifying the number of Fourier frequencies
used for the beta estimation, usually |
m |
bandwith parameter specifying the number of Fourier frequencies
used for the memory parameter estimation, usually |
alpha |
desired significance level. Default is |
Christian Leschinski, Michelle Voges
Marmol, F. and Velasco, C. (2004): Consistent testing of cointegrating relationships. Econometrica, Vol. 72, No. 6, pp. 1809 - 1844.
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