bounds.test: Performs PSS (2001) bounds test for I(0) and I(1) regressors.

In fcbarbi/ardl: Auto Regressive Distributed Lag time series model

Description

Calculates the Pesaran, Shin and Smith (2001) statistics and list the critical values.

Usage

bounds.test(obj)

Arguments

obj	An ardl object to be tested.

Details

Presents the bounds test for I(0) or I(1) regressors with critical values from PSS (2001). #TODO: include critical values from Narayan (2005) paper for small samples.

Value

An object of class ardl.

References

Pesaran, M.H. and Shin, Yongcheol and Smith, Richard (2001) Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics.

See Also

coint

Examples

data(br_month)
m1 <- ardl( mpr~cpi+prod+ner|d_lula, data=br_month, ylag=2, xlag=c(0,0,0), case=3 )
bounds.test( m1 )

fcbarbi/ardl documentation built on May 16, 2019, 12:05 p.m.