Nothing
fracdist: Numerical CDFs for Fractional Unit Root and Cointegration Tests
Calculate numerical asymptotic distribution functions of likelihood ratio statistics for fractional unit root tests and tests of cointegration rank. For these distributions, the included functions calculate critical values and P-values used in unit root tests, cointegration tests, and rank tests in the Fractionally Cointegrated Vector Autoregression (FCVAR) model. The functions implement procedures for tests described in the following articles: Johansen, S. and M. Ø. Nielsen (2012) <doi:10.3982/ECTA9299>, MacKinnon, J. G. and M. Ø. Nielsen (2014) <doi:10.1002/jae.2295>.
Getting started
Browse package contents
Package details |
|
|---|---|
| Author | Lealand Morin [aut, cre] (<https://orcid.org/0000-0001-8539-1386>) |
| Maintainer | Lealand Morin <lealand.morin@ucf.edu> |
| License | GPL-3 |
| Version | 0.1.1 |
| URL | https://github.com/LeeMorinUCF/fracdist |
| Package repository | View on CRAN |
| Installation |
Install the latest version of this package by entering the following in R:
|
Try the fracdist package in your browser
Any scripts or data that you put into this service are public.
