Description Usage Arguments Author(s) References Examples
FCI_CH06
Semiparametric frequency-domain test for fractional cointegration by Souza, Reise, Franco, Bondon (2018).
Returns test statistic, critical value, testing decision and estimate of the cointegrating strength. Null hypothesis: no fractional cointegration.
1 | FCI_SRFB18(X, d, m, r, alpha = 0.05)
|
X |
bivariate data matrix. |
d |
known common memory parameter. However, simulations indicate that consistent memory estimation does not invalidate the test. |
m |
bandwith parameter specifying the number of Fourier frequencies
used for the estimation, usually |
r |
integer trimming parameter, |
alpha |
desired significance level. Default is |
Michelle Voges
Souza, I. V. M., Reisen, V. A., Franco, G. d. C. and Bondon, P. (2018): The estimation and testing of the cointegration order based on the frequency domain. Journal of Business & Economic Statistics, Vol. 36, No. 4, pp. 695 - 704.
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