FCI_MV04 {LongMemoryTS} | R Documentation |
Test for fractional cointegration (Marmol, Velasco (2004))
Description
FCI_MV04
Semiparametric test for fractional cointegration by Marmol, Velasco (2004).
Returns test statistic, critical value and testing decision. Null hypothesis: no fractional cointegration.
Usage
FCI_MV04(X, type = c("none", "const", "trend"), N, m, alpha = 0.05)
Arguments
X |
data matrix. |
type |
string that is either |
N |
bandwidth parameter specifying the number of Fourier frequencies
used for the beta estimation, usually |
m |
bandwith parameter specifying the number of Fourier frequencies
used for the memory parameter estimation, usually |
alpha |
desired significance level. Default is |
Author(s)
Christian Leschinski, Michelle Voges
References
Marmol, F. and Velasco, C. (2004): Consistent testing of cointegrating relationships. Econometrica, Vol. 72, No. 6, pp. 1809 - 1844.
Examples
T<-500
series<-FI.sim(T=T, q=2, rho=0.1, d=c(0.6,1), B=rbind(c(1,-1),c(0,1)))
FCI_MV04(series, type="const", N=floor(T^(0.75)), m=floor(T^(2/3)))
series<-FI.sim(T=T, q=2, rho=0.1, d=c(0.8,0.8))
FCI_MV04(series, type="const", N=floor(T^(0.75)), m=floor(T^(2/3)))