coint.test.PR: A set of residual based tests for cointegration

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

A set of residual based tests for cointegration

Description

A set of residual based tests for cointegration

Usage

coint.test.PR(y, x, deter, min.lag = 0)

Arguments

y, x	Variables of interest. x can be a matrix of several variables.
deter	A value equal to 1: quasi-demeaned y and x, 2: quasi-detrended y and x, 3: quasi-demeaned y and quasi-detrended x.
min.lag	A minimum number of lags to be used in the tests.

Details

The code provided is the original GAUSS code by Perron and Rodríguez ported to R.

Value

A list of:

• 7x1-matrix of test statistics values,

• estimated number of lags.

References

Perron, Pierre, and Gabriel Rodríguez. “Residuals‐based Tests for Cointegration with Generalized Least‐squares Detrended Data.” The Econometrics Journal 19, no. 1 (February 1, 2016): 84–111. https://doi.org/10.1111/ectj.12056.

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