MZ.statistic: Calculating M-statistics by Stock (1990) and Perron and Ng...

In d9d6ka/RANEPA-R: Set of unit root and cointegration tests

Calculating M-statistics by Stock (1990) and Perron and Ng (1996).

Description

Calculating M-statistics by Stock (1990) and Perron and Ng (1996).

Usage

MZ.statistic(y, l, const = FALSE, trend = FALSE)

Arguments

y	A time series of interest.
l	Number of lags for inner ADF test.
const, trend	Whether a constant and trend are to be included.

Value

List of values of MZ_\alpha, MZ_t and MSB statistics.

References

Perron, Pierre, and Serena Ng. “Useful Modifications to Some Unit Root Tests with Dependent Errors and Their Local Asymptotic Properties.” The Review of Economic Studies 63, no. 3 (July 1, 1996): 435–63. https://doi.org/10.2307/2297890.

Stock, James H. “A Class of Tests for Integration and Cointegration.” Kennedy School of Government, Harvard University, 1990.

d9d6ka/RANEPA-R documentation built on May 4, 2024, 7:11 a.m.