FCI_N10: Nonparametric test for fractional cointegration (Nielsen...

In LongMemoryTS: Long Memory Time Series

Description

FCI_CH06 Nonparametric test and rank estimation for fractional cointegration by Nielson (2010). Returns either test statistic, critical value and testing decision (null hypothesis: no fractional cointegration) or the estimated cointegrating rank.

Usage

FCI_N10(X, d1 = 0.1, m, mean_correct = c("mean", "init", "weighted",
  "none"), type = c("test", "rank"), alpha = 0.05)

Arguments

X	data matrix.
d1	fixed order of integration, default is d1=0.1 as recommended by Nielsen (2010), no critical values for other choices available.
m	bandwith parameter specifying the number of Fourier frequencies used for the memory estimation required for the asymptotic distribution, usually floor(1+T^delta), where 0<delta<1.
mean_correct	specifies the form of mean correction in the memory estimation.
type	string that determines whether the test or the rank estimation procedure is applied.
alpha	desired significance level. Default is alpha=0.05.

Author(s)

Christian Leschinski, Michelle Voges

References

Nielsen, M. O. (2010): Nonparametric cointegration analysis of fractional systems with unknown integration orders. Journal of Econometrics, Vol. 155, No. 2, pp. 170 - 187.

Examples

T<-1000
series<-FI.sim(T=T, q=2, rho=0.4, d=c(0.1,0.9), B=rbind(c(1,-1),c(0,1)))
FCI_N10(series, m=floor(T^0.75), type="test")
series<-FI.sim(T=T, q=2, rho=0.4, d=c(0.9,0.9))
FCI_N10(series, m=floor(T^0.75), type="test")
series<-FI.sim(T=T, q=3, rho=0.4, d=c(0.2,0.2,1), B=rbind(c(1,-0.5,-0.3),c(0,1,-0.4),c(0,0,1)))
FCI_N10(series,m=floor(T^0.75),type="rank")

Example output

$Ts
[1] 5.200292

$crit
[1] 3.471996

$reject
[1] TRUE

$Ts
[1] 3.236542

$crit
[1] 3.287161

$reject
[1] FALSE

$rank
[1] 2

LongMemoryTS documentation built on May 2, 2019, 5:58 a.m.