cause_pvecm: Long-run causality in panel VECM! This function applies three...
In ReynaldoSenra/pvecm: Estimate VECM for heterogeneous panels as in Canning and Pedroni (2008)
Description
Usage
Arguments
Examples
Description
Long-run causality in panel VECM!
This function applies three long-run causality tests for panel VECM proposed by Canning and Pedroni.
Usage
1
cause_pvecm(x, type = "lambda")
Arguments
x
An object which class is 'pvecm'.
type
It can be "lambda" (for the Lambda-Pearson type thest), "proportion" (for the method of the proportion of units rejecting the null of no significance of the ECT) or "grouped t" (for the mean group of the ECT t-statistics method). These tests were proposed by Canning and Pedroni in a serie of papers. A description of the tests can be found in Pedroni 2019 (10.1016/b978-0-12-814367-4.00010-1) and Canning and Pedroni 2008 (10.1111/j.1467-9957.2008.01073.x).
Examples
1
2
3
4
data("Grunfeld", package = "plm")
sales <- pvecm(Grunfeld[c(3,4)], Grunfeld[5], cross_sections = Grunfeld[1], time = Grunfeld[2],
deterministic_long = "drift", vecm_lags = 2)
cause_pvecm(sales, type = "lambda")
ReynaldoSenra/pvecm documentation built on Feb. 18, 2022, 1:35 a.m.
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Description Usage Arguments Examples
Description
Long-run causality in panel VECM! This function applies three long-run causality tests for panel VECM proposed by Canning and Pedroni.
Usage
1 | cause_pvecm(x, type = "lambda")
|
Arguments
x |
An object which class is 'pvecm'. |
type |
It can be "lambda" (for the Lambda-Pearson type thest), "proportion" (for the method of the proportion of units rejecting the null of no significance of the ECT) or "grouped t" (for the mean group of the ECT t-statistics method). These tests were proposed by Canning and Pedroni in a serie of papers. A description of the tests can be found in Pedroni 2019 (10.1016/b978-0-12-814367-4.00010-1) and Canning and Pedroni 2008 (10.1111/j.1467-9957.2008.01073.x). |
Examples
1 2 3 4 | data("Grunfeld", package = "plm")
sales <- pvecm(Grunfeld[c(3,4)], Grunfeld[5], cross_sections = Grunfeld[1], time = Grunfeld[2],
deterministic_long = "drift", vecm_lags = 2)
cause_pvecm(sales, type = "lambda")
|
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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