Description Usage Arguments Value References Examples
View source: R/Enders_Siklos_2001.R
This function allows you to make Enders and Siklos(2001) nonlinear cointegration test
1 | Enders_Siklos_2001(y, x, case = 2, max_lags)
|
y |
series name |
x |
series name, |
case |
if no lag 1, if one lag 2, if four lag 3, default case=2 |
max_lags |
maximum lag (Apropriate lag is selected by Akaike Information Criteria) |
"Model" Estimated model
"Selected Lag" the lag order
"p1=p2=0 Statistic" the value of the test statistic
"p1=p2 Statistic" the value of the test statistic
"p value" the probability of test statistic
Enders, W., & Siklos, P. L. (2001). Cointegration and threshold adjustment. Journal of Business & Economic Statistics, 19(2), 166-176.
Burak Guris, R Uygulamalı Dogrusal Olmayan Zaman Serileri Analizi, DER Yayinevi, 2020.
1 2 3 4 5 6 | x <- cumsum(rnorm(1000))
y <- cumsum(rnorm(1000))
Enders_Siklos_2001(x, y, max_lags = 6)
data(MarketPrices)
Enders_Siklos_2001(MarketPrices[,1],MarketPrices[,2], max_lags = 12)
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