mc_cv: Monte Carlo Critical Values

Description Usage Arguments Value See Also Examples

View source: R/mc_cv.R

Description

mc_cv computes Monte Carlo critical values for the recursive unit root tests.

Usage

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mc_cv(n, nrep = 2000, minw, opt_badf = c("fixed", "asymptotic",
  "simulated"), opt_bsadf = c("conventional", "conservative"))

Arguments

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.

Value

A list that contains the critical values for ADF, BADF, BSADF and GSADF t-statistics.

See Also

wb_cv for Wild Bootstrapped critical values and sb_cv for Sieve Bootstrapped critical values

Examples

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# Default minimum window
mc <- mc_cv(n = 100)

# Change the minimum window and the number of simulations
mc <- mc_cv(n = 100, nrep = 2500,  minw = 20)

exuber documentation built on March 2, 2019, 1:04 a.m.