pssbounds: pssbounds

In nardl: Nonlinear Cointegrating Autoregressive Distributed Lag Model

Description

display the necessary critical values to conduct the Pesaran, Shin and Smith 2001 bounds test for cointegration. See http://andyphilips.github.io/pssbounds/.

Usage

pssbounds(obs, fstat, tstat = NULL, case, k)

Arguments

obs	number of observations
fstat	value of the F-statistic
tstat	value of the t-statistic
case	case number
k	number of regressors appearing in lag levels

Details

pssbounds is a module to display the necessary critical values to conduct the Pesaran, Shin and Smith (2001) bounds test for cointegration. Critical values using the F-test are the default; users can also include the critical values of the t-test with the tstat parameter.

As discussed in Philips (2016), the upper and lower bounds of the cointegration test are non-standard, and depend on the number of observations, the number of regressors appearing in levels, and the restrictions (if any) placed on the intercept and trend. Asymptotic critical values are provided by Pesaran, Shin, and Smith (2001), and small-sample critical values by Narayan (2005). The following five cases are possible: I (no intercept, no trend), II (restricted intercept, no trend), III (unrestricted intercept, no trend), IV (unrestricted intercept, restricted trend), V (unrestricted intercept, unrestricted trend). See Pesaran, Shin and Smith (2001) for more details; Case III is the most common.

More details are available at http://andyphilips.github.io/pssbounds/.

Value

None

Author(s)

Soren Jordan, [e-mail]

Andrew Q Philips, [e-mail]

References

If you use pssbounds, please cite:

Jordan, Soren and Andrew Q. Philips. "pss: Perform bounds test for cointegration and perform dynamic simulations."

and

Philips, Andrew Q. "Have your cake and eat it too? Cointegration and dynamic inference from autoregressive distributed lag models" Working Paper.

Narayan, Paresh Kumar. 2005. "The Saving and Investment Nexus for China: Evidence from Cointegration Tests." Applied Economics 37(17):1979-1990.

Pesaran, M Hashem, Yongcheol Shin and Richard J Smith. 2001. "Bounds testing approaches to the analysis of level relationships." Journal of Applied Econometrics 16(3):289-326.

Examples

reg<-nardl(food~inf,fod,ic="aic",maxlag = 4,graph = TRUE,case=3)
pssbounds(case=reg$case,fstat=reg$fstat,obs=reg$Nobs,k=reg$k)
# F-stat concludes I(1) and cointegrating, t-stat concludes I(0).

nardl documentation built on Jan. 7, 2021, 1:06 a.m.