Description Usage Arguments Author(s) References Examples
FCI_NS07
Rank estimation in fractionally cointegrated systems by Nielsen, Shimotsu (2007).
Returns estimated cointegrating rank, r=0,...,dim-1.
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X |
data matrix. |
m |
bandwith parameter specifying the number of Fourier frequencies
used for the estimation of G, usually |
m1 |
bandwith parameter specifying the number of Fourier frequencies
used for the memory estimation , usually |
mean_correct |
specifies the form of mean correction in the memory estimation. |
v_n |
bandwidth parameter. Nielsen and Shimotsu (2007) use m^(-0.3) in their simulation studies, which is the default value. m^(-b) mit 0<b<0.5 can be used. |
Christian Leschinski, Michelle Voges
Nielsen, M. 0. and Shimotsu, K. (2007): Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach. Journal of Econometrics, Vol. 141, No. 2, pp. 574 - 596.
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