pco-package: Panel Cointegration Tests

Description Details Author(s) References See Also Examples

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

1
2
3
4
5
6
data(gdi)
data(gds)
pedroni99(gdi, gds)

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

pco documentation built on May 31, 2017, 2:13 a.m.

Search within the pco package
Search all R packages, documentation and source code