FCVARrankTests: Test for Cointegrating Rank

In LeeMorinUCF/FCVAR: Estimation and Inference for the Fractionally Cointegrated VAR

Test for Cointegrating Rank

Description

FCVARrankTests performs a sequence of likelihood ratio tests for cointegrating rank.

Usage

FCVARrankTests(x, k, opt)

Arguments

x	A matrix of variables to be included in the system.
k	The number of lags in the system.
opt	An S3 object of class FCVAR_opt that stores the chosen estimation options, generated from FCVARoptions().

Value

An S3 object of type FCVAR_ranks containing the results from cointegrating rank tests, containing the following (p+1) vectors with ith element corresponding to rank = i-1, including the following parameters:

dHat

Estimates of d.

bHat

Estimates of b.

LogL

Maximized log-likelihood.

LRstat

LR trace statistic for testing rank r against rank p.

pv

The p-value of LR trace test, or "999" if p-value is not available.

k

The number of lags in the system.

p

The number of variables in the system.

cap_T

The sample size.

opt

An S3 object of class FCVAR_opt that stores the chosen estimation options, generated from FCVARoptions().

See Also

FCVARoptions to set default estimation options. FCVARestn is called repeatedly within this function for each candidate cointegrating rank. summary.FCVAR_ranks prints a summary of the output of FCVARrankTests to screen.

Other FCVAR specification functions: FCVARbootRank(), FCVARlagSelect(), summary.FCVAR_lags(), summary.FCVAR_ranks()

Examples

opt <- FCVARoptions()
opt$gridSearch   <- 0 # Disable grid search in optimization.
opt$dbMin        <- c(0.01, 0.01) # Set lower bound for d,b.
opt$dbMax        <- c(2.00, 2.00) # Set upper bound for d,b.
opt$constrained  <- 0 # Impose restriction dbMax >= d >= b >= dbMin ? 1 <- yes, 0 <- no.
x <- votingJNP2014[, c("lib", "ir_can", "un_can")]
rankTestStats <- FCVARrankTests(x, k = 2, opt)

LeeMorinUCF/FCVAR documentation built on May 8, 2022, 3:34 p.m.