cointegration_phillips_ouliaris: Phillips and Ouliaris Cointegration Test

In feasts: Feature Extraction and Statistics for Time Series

Phillips and Ouliaris Cointegration Test

Description

Performs the Phillips and Ouliaris "Pu" and "Pz" cointegration test.

Usage

cointegration_phillips_ouliaris(x, ...)

Arguments

x	Matrix of data to be tested.
...	Additional arguments passed to urca::ca.po().

Details

The test "Pz", compared to the test "Pu", has the advantage that it is invariant to the normalization of the cointegration vector, i.e. it does not matter which variable is on the left hand side of the equation. In case convergence problems are encountered by matrix inversion, one can pass a higher tolerance level via "tol=..." to the solve()-function.

Value

An object of class ca.po.

Author(s)

Bernhard Pfaff

References

Phillips, P.C.B. and Ouliaris, S. (1990), Asymptotic Properties of Residual Based Tests for Cointegration, Econometrica, Vol. 58, No. 1, 165–193.

See Also

urca::ca.po()

Examples

cointegration_phillips_ouliaris(cbind(mdeaths, fdeaths))

feasts documentation built on Sept. 30, 2024, 9:14 a.m.