Description Usage Arguments Examples
GSE_coint
is an extended version of GSE
that allows the joint
estimation of the memory parameters and the cointegration vector for a vector valued process.
1 | GSE_coint(X, m = m, elements, l = 1)
|
X |
data matrix with T observations of q-dimensional process. |
m |
bandwith parameter specifying the number of Fourier frequencies used for the estimation. Usually |
elements |
vector specifying which elements of the observation vector are cointegrated. |
l |
integer that specifies the number of Fourier frequencies (l-1) that are trimmed. |
1 2 3 4 5 6 7 8 |
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