VECM.test: Test of the cointegration rank with a possible break in trend
In d9d6ka/RANEPA-R: Set of unit root and cointegration tests
VECM.test R Documentation
Test of the cointegration rank with a possible break in trend
Description
This procedure is aimed on the problem of testing for the cointegration rank
of a vector autoregressive process in the case where a trend break may
potentially be present in the data.
The test is based on estimating the quasi log likelihood for two situations,
with break, and without it. The one with the smallest value is considered to
be the result.
Usage
VECM.test(y, r, max.lag, trim = 0.15)
Arguments
y
A matrix of n VAR variables.
r
The cointegration rank tested against the alternative of n.
max.lag
The maximum number of lags.
trim
The trimming parameter to find the lower and upper bounds of
possible break dates.
Details
The code provided is the original GAUSS code by Harris et al.
ported to R.
Value
A list of:
the indicator of the rejection of null.
the estimated break point.
the estimated lag number.
References
Harris, David, Stephen J. Leybourne, and A. M. Robert Taylor.
“Tests of the Co-Integration Rank in VAR Models in the Presence
of a Possible Break in Trend at an Unknown Point.”
Journal of Econometrics, Innovations in Multiple Time Series Analysis,
192, no. 2 (June 1, 2016): 451–67.
https://doi.org/10.1016/j.jeconom.2016.02.010.
d9d6ka/RANEPA-R documentation built on May 4, 2024, 7:11 a.m.
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| VECM.test | R Documentation |
Test of the cointegration rank with a possible break in trend
Description
This procedure is aimed on the problem of testing for the cointegration rank of a vector autoregressive process in the case where a trend break may potentially be present in the data.
The test is based on estimating the quasi log likelihood for two situations, with break, and without it. The one with the smallest value is considered to be the result.
Usage
VECM.test(y, r, max.lag, trim = 0.15)
Arguments
y |
A matrix of |
r |
The cointegration rank tested against the alternative of |
max.lag |
The maximum number of lags. |
trim |
The trimming parameter to find the lower and upper bounds of possible break dates. |
Details
The code provided is the original GAUSS code by Harris et al. ported to R.
Value
A list of:
the indicator of the rejection of null.
the estimated break point.
the estimated lag number.
References
Harris, David, Stephen J. Leybourne, and A. M. Robert Taylor. “Tests of the Co-Integration Rank in VAR Models in the Presence of a Possible Break in Trend at an Unknown Point.” Journal of Econometrics, Innovations in Multiple Time Series Analysis, 192, no. 2 (June 1, 2016): 451–67. https://doi.org/10.1016/j.jeconom.2016.02.010.
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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