lookupCVtable: Function for looking up tabulated critical values and...

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

Function for looking up tabulated critical values and associated p-values of HEGY test.

Description

Function for looking up tabulated critical values and associated p-values,Hylleberg et. al (1990, Table 1a and Table 1b).

Usage

lookupCVtable(code)

Arguments

code	Type of HEGY model, this will be automatically identified.

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.