Description Usage Arguments Value See Also Examples
mc_cv
computes Monte Carlo critical values for the recursive unit
root tests.
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n |
A positive integer. The sample size. |
nrep |
A positive integer. The number of Monte Carlo simulations. |
minw |
A positive integer. The minimum window size, which defaults to (0.01 + 1.8 / √T)*T. |
opt_badf |
Options for badf critical value calculation. "fixed" corresponds to log(log(n*s))/100 rule, "asymptotic" to asymptotic critical values and simulated to the monte carlo simulations. |
opt_bsadf |
Options for bsadf critical value calculation. "conventional" corresponds to the max of the quantile of the simulated distribution, while "conservative" corresponds to the quantile of the max which is more conservative in nature, thus the name. |
A list that contains the critical values for ADF, BADF, BSADF and GSADF t-statistics.
wb_cv
for Wild Bootstrapped critical values and
sb_cv
for Sieve Bootstrapped critical values
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