Description Usage Arguments Author(s) References Examples
FCI_WWC15
Semiparametric implementation of the testing strategy for fractional cointegration by Wang, Wang, Chan (2015).
Returns test statistic, critical value and testing decision. Null hypothesis: no fractional cointegration.
1 2 |
X |
bivariate data matrix. |
m |
bandwith parameter specifying the number of Fourier frequencies
used for the estimation, usually |
mean_correct |
specifies the form of mean correction in the memory estimation. |
alpha |
desired significance level. Default is |
Christian Leschinski, Michelle Voges
Wang, B., Wang, M. and Chan, N. H. (2015): Residual-based test for fractional cointegration. Economics Letters, Vol. 126, pp. 43 - 46.
Hualde, J. (2013): A simple test for the equality of integration orders. Economics Letters, Vol. 119, No. 3, pp. 233 - 237.
1 2 3 4 5 |
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.