Description Usage Arguments Value References Examples
View source: R/KSS_2006_Cointegration.R
This function allows you to make Kapetanios, Shin and Snell(2006) nonlinear cointegration test using residual based approach
1 | KSS_2006_Cointegration(y, x, case, lags, lsm)
|
y |
series name, |
x |
series name |
case |
if raw data 1 if demeaned data 2 if detrended data 3, |
lags |
lag length |
lsm |
lag selection methods if 1 AIC, if 2 BIC, if 3 t-stat significance |
"Model" Estimated model
"Selected lag" the lag order
"Test Statistic" the value of the test statistic
Kapetanios, G., Shin, Y., & Snell, A. (2006). Testing for cointegration in nonlinear smooth transition error correction models. Econometric Theory, 22(2), 279-303.
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))
KSS_2006_Cointegration(x, y, case = 1, lags = 6, lsm = 3)
KSS_2006_Cointegration(MarketPrices[,1],MarketPrices[,2], case = 1, lags = 2, lsm = 1)
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