R/internal.R

In urca: Unit Root and Cointegration Tests for Time Series Data

##
## Function for critical values of ur.sp
##
.spcv <- function(obs, type, pol.deg, signif){
  obs.ranges <- c(25, 50, 100, 200, 500, 1000, 1e30)
  dim.1 <- which(obs.ranges >= obs, arr.ind=TRUE)[1]
  signif.val <- c(0.01, 0.05, 0.1)
  dim.2 <- which(signif==signif.val, arr.ind=TRUE)
  dim.3 <- pol.deg
  if(type=="tau"){
  cvs.tau <- -1*c(3.9, 3.73, 3.63, 3.61, 3.59, 3.58, 3.56, 3.18, 3.11, 3.06, 3.04, 3.04, 3.02, 3.02, 2.85, 2.8, 2.77, 2.76, 2.76, 2.75, 2.75, 4.52, 4.28, 4.16, 4.12, 4.08, 4.06, 4.06, 3.78, 3.77, 3.65, 3.6, 3.55, 3.55, 3.53, 3.52, 3.41, 3.34, 3.31, 3.28, 3.26, 3.26, 3.26, 5.07, 4.73, 4.59, 4.53, 4.5, 4.49, 4.44, 4.26, 4.08, 4.03, 3.99, 3.96, 3.95, 3.93, 3.89, 3.77, 3.72, 3.69, 3.68, 3.68, 3.67, 5.57, 5.13, 4.99, 4.9, 4.85, 4.83, 4.81, 4.7, 4.47, 4.39, 4.33, 4.31, 4.31, 4.29, 4.3, 4.15, 4.1, 4.06, 4.03, 4.03, 4.01)
  cv.array <- array(cvs.tau, dim=c(7, 3, 4), dimnames=NULL)
  cval <- cv.array[dim.1, dim.2, dim.3]
}else if(type=="rho"){
    cvs.rho <- -1*c(20.4, 22.8, 23.8, 24.8, 25.3, 25.3, 25.2, 15.7, 17.0, 17.5, 17.9, 18.1, 18.1, 18.1, 13.4, 14.3, 14.6, 14.9, 15.0, 15.0, 15.0, 24.6, 28.4, 30.4, 31.8, 32.4, 32.5, 32.6, 20.1, 22.4, 23.7, 24.2, 24.8, 24.6, 24.7, 17.8, 19.5, 20.4, 20.7, 21.0, 21.1, 21.1, 28.1, 33.1, 36.3, 38.0, 39.1, 39.5, 39.7, 23.8, 27.0, 29.1, 30.1, 30.6, 30.8, 30.6, 21.5, 24.0, 25.4, 26.1, 26.6, 26.7, 26.7, 31.0, 37.4, 41.8, 44.0, 45.3, 45.7, 45.8, 26.9, 31.2, 34.0, 35.2, 36.2, 36.6, 36.4, 24.7,28.1, 30.2, 31.2, 31.8, 32.0, 31.9)
  cv.array <- array(cvs.rho, dim=c(7, 3, 4), dimnames=NULL)
  cval <- cv.array[dim.1, dim.2, dim.3]}
  return(cval)
}