Description Usage Arguments Author(s) References Examples
T.rho
Uses pairwise test as suggested by Robinson and Yajima (2002) to test
for the equality of the memory parameters in a vector series.
1 2 |
data |
data matrix of dimension (qxT). |
d.hat |
the estimated d.vector |
m |
bandwith parameter specifying the number of Fourier frequencies.
used for the estimation of G, usually |
m1 |
the bandwidth parameter used for estimation of d.vec with m1>>m |
alpha |
the desired significance level for the tests |
s_bar |
number of subvectors to be tested in partitioning procedure.
Default is |
h_n |
bandwidth parameter. Default is |
Christian Leschinski
Robinson, P. M. and Yajima, Y. (2002): Determination of cointegrating rank in fractional systems. Journal of Econometrics, Vol. 106, No.2, pp. 217-241.
Nielsen, M. O. and Shimotsu, K. (2007): Determining the coinegrating rank in nonstationary fractional systems by the exact local Whittle approach. Journal of Econometrics, 141, pp. 574-596.
1 2 3 4 5 6 7 8 9 10 11 12 | library(fracdiff)
T<-1000
d1<-0.2
d2<-0.4
X<-cbind(fracdiff.sim(n=T,d=d1)$series,fracdiff.sim(n=T,d=d1)$series,
fracdiff.sim(n=T,d=d2)$series,fracdiff.sim(n=T,d=d2)$series)
alpha<-0.05
m1<-floor(1+T^0.75)
m<-floor(1+T^0.65)
lW.wrap<-function(data,m){local.W(data,m)$d}
d.hat<-apply(X,2,lW.wrap, m=m1)
T.rho(data=X, d.hat=d.hat, m=m, m1=m1)
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