mccracken: Returns McCracken's (2007) oos-t critical values

In grayclhn/oosanalysis-R-library: Pseudo out-of-sample forecasting

Description

This function retrieves the critical values for the oos-t test statistic derived by McCracken (2007) for nested models.

Usage

mccracken_criticalvalue(pi, k2, confidence, window = c("recursive", "rolling", "fixed"))

Arguments

pi	P/R where P is the number of out-of-sample observations and R is the size of the estimation window. Note that this is rounded to the closest value in McCracken's table; if you want to interpolate between listed values, you must do so manually.
k2	The number of additional regressors in the larger model.
confidence	One minus the asymptotic nominal size of the test; this must be 0.90, 0.95, or 0.99.
window	The OOS window scheme.

Value

Returns a single numeric value, the appropriate critical value for the test.

Author(s)

Gray Calhoun [e-mail]

References

McCracken, M. 2007, Asymptotics for out of sample tests of Granger causality. Journal of Econometrics, 140(2): 719-752.

See Also

clarkwest, recursive_forecasts, dmw_mse, dmw_calculation

Examples

mccracken_criticalvalue(.4, 5, .9, "rolling")
mccracken_criticalvalue(.4, 5, .9, "recursive")
mccracken_criticalvalue(.4, 5, .9, "fixed")

grayclhn/oosanalysis-R-library documentation built on May 17, 2019, 8:33 a.m.