Panel Cointegration Tests

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Description

Computation of the Pedroni (1999) panel cointegration test statistics. Reported are the empirical values and the standardized values (as suggested in Pedroni, 1999).

Details

Package: pco
Type: Package
Version: 1.0.1
Date: 2015-07-26
License: GPL-2

Computation of the Pedroni (1999) panel cointegration test statistics. Reported are the empirical and the standardized values (as suggested in Pedroni, 1999).

The package includes two functions: 'pedroni99' is for the bivariate case (one Y, one X, no NA values), data must be in matrices (easier for use); 'pedroni99m' is for the multivariate case (one Y, multiple X, no NA values), data must be in an array of all variables.

Author(s)

Georgi Marinov Maintainer: Georgi Marinov <georgi.marinov@ue-varna.bg>

References

Newey, Whitney K.; West, Kenneth D. (1994). "Automatic lag selection in covariance matrix estimation". Review of Economic Studies 61 (4): 631-654.

Pedroni, Peter, 1999. "Critical Values for Cointegration Tests in Heterogeneous Panels with Multiple Regressors," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(0), pages 653-70, Special I.

See Also

pedroni99

pedroni99m

Examples

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data(gdi)
data(gds)
pedroni99(gdi, gds)

xx<-array(cumsum(rnorm(10000)),dim=c(100,20,5))
pedroni99m(xx)