pssbounds: Perform Pesaran, Shin, and Smith (2001) cointegration test

In andyphilips/dynamac: Dynamic Simulation and Testing for Single-Equation ARDL Models

Description

Perform Pesaran, Shin, and Smith (2001) cointegration test

Usage

pssbounds(data = list(), obs = NULL, fstat = NULL, tstat = NULL,
  case = NULL, k = NULL, restriction = FALSE, digits = 3,
  object.out = FALSE)

Arguments

data	an optional dynardl model. This option is highly recommended. Users are welcome to supply their own case, k regressors, t-statistic, F-statistic, and observations, but it is easier to have the model determine these quantities. If a dynardl model is supplied, user-supplied arguments are ignored
obs	number of observations
fstat	F-statistic of the joint test that variables in first lags are equal to zero: the specific restriction tested is l.y + l.1.x1 + l.1.x2 + ... + l.1.xk = 0, except in cases II and IV (see restriction and case)
tstat	t-statistic of the lagged dependent variable
case	The case of the test, as per Pesaran, Shin, and Smith (2001). Case I: no intercept or trend; case II: restricted intercept, no trend; case III: unrestricted intercept with no trend; case IV: unrestricted intercept and restricted trend; case V: unrestricted intercept and trend. Case III is most frequently specified
k	number of regressors appearing in levels in the estimated model, not including the lagged dependent variable
restriction	if you design to test case II or IV of pssbounds, where it is assumed that the constant (case 2) or trend (case 4) are restricted in the resulting F-test, indicate that restriction = TRUE. If restriction = TRUE and there is no trend in the regression (trend = FALSE in dynardl), the F-test will include the constant in addition to the lagged dependent variable and lagged regressors in order to test for cointegration under the assumption of a restricted constant (see Pesaran, Shin and Smith [2001], case II). If restriction = TRUE and there is a trend in the regression (trend = TRUE in dynardl), the F-test will include the trend term in addition to the lagged dependent variable and lagged regressors in order to test for cointegration under the assumption of a restricted trend (see Pesaran, Shin and Smith [2001], case IV). If you are estimating the regular unrestricted ECM (this is more common), restriction = FALSE. The default is FALSE
digits	the number of digits to round to when showing output. The default is 3
object.out	if TRUE, and pssbounds is assigned to an object, the test quantities will be stored for the user's convenience

Details

pssbounds performs post-estimation cointegration testing using the bounds testing procedure from Pesaran, Shin, and Smith (2001). Since test statistics vary based on the number of k regressors, length of the series, these are required, in addition to F- and t-statistics

Author(s)

Soren Jordan and Andrew Q. Philips

Examples

# Using the ineq data from dynamac
# We can get all the values by hand
ardl.model <- dynardl(concern ~ incshare10 + urate, data = ineq, 
        lags = list("concern" = 1, "incshare10" = 1),
        diffs = c("incshare10", "urate"), 
        lagdiffs = list("concern" = 1),
        ec = TRUE, simulate = FALSE)
summary(ardl.model)
pssbounds(obs = 47, fstat = 7.01578, tstat = -3.223, case = 3, k = 1)

# Or just pass a dynardl model.
pssbounds(ardl.model)

andyphilips/dynamac documentation built on Oct. 14, 2020, 9:48 p.m.