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 <[email protected]>

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)

Example output

$CALL
pedroni99(Y = gdi, X = gds)

$METHOD
[1] "Pedroni(1999) panel tests for cointegration"

$STATISTIC
              empirical standardized
nipanel       34.688809 -0.024554841
rhopanel     -28.703846  0.403612168
tpanelnonpar  -8.971574 -0.529853094
tpanelpar     -7.637772  0.538385663
rhogroup     -43.106818  0.978667063
tgroupnonpar -10.575789 -0.764380042
tgrouppar     -9.958862  0.001412969

$CALL
pedroni99m(X = xx)

$METHOD
[1] "Pedroni(1999) panel tests for cointegration"

$STATISTIC
             empirical standardized
nipanel       65.67526   -2.0895582
rhopanel     -56.87293    3.6006969
tpanelnonpar -10.90657    3.9766779
tpanelpar    -15.18738   -0.7506802
rhogroup     -66.14347    4.8208213
tgroupnonpar -11.84192    4.8632379
tgrouppar    -11.53467    5.2798215

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