Description Details Author(s) References See Also Examples
Computation of the Pedroni (1999) panel cointegration test statistics. Reported are the empirical values and the standardized values (as suggested in Pedroni, 1999).
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.
Georgi Marinov Maintainer: Georgi Marinov <georgi.marinov@ue-varna.bg>
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.
1 2 3 4 5 6 |
$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
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.