pssbounds | R Documentation |
Perform Pesaran, Shin, and Smith (2001) cointegration test
pssbounds( data = list(), obs = NULL, fstat = NULL, tstat = NULL, case = NULL, k = NULL, restriction = FALSE, digits = 3, object.out = FALSE )
data |
an optional |
obs |
number of observations |
fstat |
F-statistic of the joint test that variables in first lags are equal to zero: the specific restriction tested
is |
tstat |
t-statistic of the lagged dependent variable |
case |
The case of the test, as per Pesaran, Shin, and Smith (2001). Case I: no intercept or trend; case II: restricted intercept, no trend; case III: unrestricted intercept with no trend; case IV: unrestricted intercept and restricted trend; case V: unrestricted intercept and trend. Case III is most frequently specified |
k |
number of regressors appearing in levels in the estimated model, not including the lagged dependent variable |
restriction |
if you design to test case II or IV of pssbounds, where it is assumed that the constant (case 2) or trend (case 4) are restricted in the resulting F-test, indicate that restriction = |
digits |
the number of digits to round to when showing output. The default is |
object.out |
if |
pssbounds performs post-estimation cointegration testing using the bounds testing procedure from Pesaran, Shin, and Smith (2001). Since test statistics vary based on the number of k
regressors, length of the series, these are required, in addition to F- and t-statistics
Soren Jordan and Andrew Q. Philips
# Using the ineq data from dynamac # We can get all the values by hand ardl.model <- dynardl(concern ~ incshare10 + urate, data = ineq, lags = list("concern" = 1, "incshare10" = 1), diffs = c("incshare10", "urate"), lagdiffs = list("concern" = 1), ec = TRUE, simulate = FALSE) summary(ardl.model) pssbounds(obs = 47, fstat = 7.01578, tstat = -3.223, case = 3, k = 1) # Or just pass a dynardl model. pssbounds(ardl.model)
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.