Description Usage Arguments Details References Examples
View source: R/cointegrating_rank_estimation.R
Model selection procedure to estimate the cointegrating rank based on eigenvalues of correlation matrix P suggested by Robinson and Yajima (2002).
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data |
data matrix of dimension (qxT). |
d.hat |
the estimated d.vector |
m |
bandwith parameter specifying the number of Fourier frequencies.
used for the estimation of d, usually |
m1 |
the bandwidth parameter used for estimation of d.vec with m1>>m |
v_n |
bandwidth parameter. Nielsen and Shimotsu (2007) use m^(-0.3) in their simulation studies, which s the default value. m^(-b) mit 0<b<0.5 can be used. |
add details here.
Robinson, P. M. and Yajima, Y. (2002): Determination of cointegrating rank in fractional systems. Journal of Econometrics, Vol. 106, No.2, pp. 217-241.
Nielsen, M. O. and Shimotsu, K. (2007): Determining the coinegrating rank in nonstationary fractional systems by the exact local Whittle approach. Journal of Econometrics, 141, pp. 574-596.
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