pco-package: Panel Cointegration Tests

In pco: Panel Cointegration Tests

Description

Computation of the Pedroni (1999) panel cointegration test statistics. Reported are the empirical values and the standardized values (as suggested in Pedroni, 1999).

Details

Package:	pco
Type:	Package
Version:	1.0.1
Date:	2015-07-26
License:	GPL-2

Computation of the Pedroni (1999) panel cointegration test statistics. Reported are the empirical and the standardized values (as suggested in Pedroni, 1999).

The package includes two functions: 'pedroni99' is for the bivariate case (one Y, one X, no NA values), data must be in matrices (easier for use); 'pedroni99m' is for the multivariate case (one Y, multiple X, no NA values), data must be in an array of all variables.

Author(s)

Georgi Marinov Maintainer: Georgi Marinov <[e-mail]>

References

Newey, Whitney K.; West, Kenneth D. (1994). "Automatic lag selection in covariance matrix estimation". Review of Economic Studies 61 (4): 631-654.

Pedroni, Peter, 1999. "Critical Values for Cointegration Tests in Heterogeneous Panels with Multiple Regressors," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(0), pages 653-70, Special I.

See Also

pedroni99

pedroni99m

Examples

data(gdi)
data(gds)
pedroni99(gdi, gds)

xx<-array(cumsum(rnorm(10000)),dim=c(100,20,5))
pedroni99m(xx)

Example output

$CALL
pedroni99(Y = gdi, X = gds)

$METHOD
[1] "Pedroni(1999) panel tests for cointegration"

$STATISTIC
              empirical standardized
nipanel       34.688809 -0.024554841
rhopanel     -28.703846  0.403612168
tpanelnonpar  -8.971574 -0.529853094
tpanelpar     -7.637772  0.538385663
rhogroup     -43.106818  0.978667063
tgroupnonpar -10.575789 -0.764380042
tgrouppar     -9.958862  0.001412969

$CALL
pedroni99m(X = xx)

$METHOD
[1] "Pedroni(1999) panel tests for cointegration"

$STATISTIC
             empirical standardized
nipanel       65.67526   -2.0895582
rhopanel     -56.87293    3.6006969
tpanelnonpar -10.90657    3.9766779
tpanelpar    -15.18738   -0.7506802
rhogroup     -66.14347    4.8208213
tgroupnonpar -11.84192    4.8632379
tgrouppar    -11.53467    5.2798215

pco documentation built on May 1, 2019, 9:42 p.m.