Description Usage Format Details Source Examples
These data sets provide estimated critical values for the limiting distributions of the cointegrating rank trace (CV.trace.table
) and maximum eigenvalue (CV.maxeigen.table
) statistics for all five intercept/trend scenarios (case I to V) as describe in PSS 2000.
1 | data(cv.tables.pesaran)
|
The format is: Lists of 10 $ case I 5 $ case I 10 $ case II 5 $ case II 10 $ case III 5 $ case III 10 $ case IV 5 $ case IV 10 $ case V 5 $ case V 10
details to follow
M. Hashem Pesaran, Yongcheol Shin, and Richard J. Smith. Structural analysis of vector error correction models with exogenous I(1) variables. Journal of Econometrics, 97:293-343, 2000.
James G. MacKinnon, Alfred A. Haug and Leo Michelis. Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration. Journal of Applied Econometrics, 5(14):563-577, 1999.
1 2 3 4 5 | data(CV.trace.table)
data(CV.maxeigen.table)
CV.trace.table[[1]][12,1] ## returns the 0.05 trace CV for case I in a ... model
CV.maxeigen.table[[4]][12,1] ## returns the 0.1 maximum eigenvalue CV for case II in a ... model
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