Description Usage Arguments Author(s) References Examples
FCI_R08
Semiparametric Hausmann-type test for fractional cointegration by Robinson (2008).
Returns test statistic, critical value, testing decision and type. Null hypothesis: no fractional cointegration.
1 |
X |
data matrix. |
m |
bandwith parameter specifying the number of Fourier frequencies
used for the estimation, usually |
type |
determines the implementation of the test statistic: |
alpha |
desired significance level. Default is |
a.vec |
weighting scheme for averaging univariate memory estimates, default is simple arithmetic mean. |
Christian Leschinski, Michelle Voges
Robinson, P. (2008): Diagnostic testing for cointegration. Journal of Econometrics, Vol. 143, No. 1, pp. 206 - 225.
1 2 3 4 5 |
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.