interpolpval: Extracting critical value and p-value from Table 1 of...

In pdR: Threshold Model and Unit Root Tests in Cross-Section and Time Series Data

Extracting critical value and p-value from Table 1 of Hylleberg et. al (1990)

Description

Hylleberg et. al (1990,pp.226-227) offer simulated critical values for seasonal unitr to test. interpolpval() is an internal call and should not be used independently.

Usage

interpolpval(code, stat, N, swarn = TRUE)

Arguments

code	Type of HEGY model, this will be automatically identified.
stat	Empirical test statistics.
N	Sample size calculating stat above.
swarn	Logical. Whether the warning message for negative p-value will be returned? The default is TRUE.

Value

table

Table for critical value and p-value.

Author(s)

Ho Tsung-wu <[e-mail]>, modifed from Javier Lopez-de-Lacalle

References

Hylleberg, S., Engle, R.F., Granger, C.W.J., and Yoo, B.S.(1990) Seasonal integration and cointegration. Journal of Econometrics,44, 215-238.
Javier Lopez-de-Lacalle in https://github.com/cran/uroot/blob/master/R/hegy.R

pdR documentation built on Sept. 11, 2024, 9:08 p.m.