Description Usage Arguments Author(s) References Examples
FCI_CH06
SRank estimation in fractionally cointegrated systems (Zhang, Robinson, Yao (2018)).
Returns estimated cointegrating rank, r=0,...,dim-1.
1 | FCI_ZRY18(X, lag_max, lag_max2 = 20, c0 = 0.3)
|
X |
data matrix. |
lag_max |
number of lags in autocovariance matrix of data for eigenvector estimation. |
lag_max2 |
number of residual autocorrelations that are averaged, default is |
c0 |
threshold to compare averaged residual autocorrelation to, default is |
Michelle Voges
Zhang, R., Robinson, P. and Yao, Q. (2018): Identifying cointegration by eigenanalysis. Journal of the American Statistical Association (forthcoming).
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