FCI_WWC15 {LongMemoryTS}

Semiparametric test for fractional cointegration (Wang, Wang, Chan (2015))

Description

FCI_WWC15 Semiparametric implementation of the testing strategy for fractional cointegration by Wang, Wang, Chan (2015). Returns test statistic, critical value and testing decision. Null hypothesis: no fractional cointegration.

Usage

FCI_WWC15(X, m, mean_correct = c("init", "mean", "weighted", "none"),
  alpha = 0.05)

Arguments

X

bivariate data matrix.

m

bandwith parameter specifying the number of Fourier frequencies used for the estimation, usually floor(1+T^delta), where 0<delta<1.

mean_correct

specifies the form of mean correction in the memory estimation.

alpha

desired significance level. Default is alpha=0.05.

Author(s)

Christian Leschinski, Michelle Voges

References

Wang, B., Wang, M. and Chan, N. H. (2015): Residual-based test for fractional cointegration. Economics Letters, Vol. 126, pp. 43 - 46.

Hualde, J. (2013): A simple test for the equality of integration orders. Economics Letters, Vol. 119, No. 3, pp. 233 - 237.

Examples

T<-1000
series<-FI.sim(T=T, q=2, rho=0.4, d=c(0.1,0.8), B=rbind(c(1,1),c(0,1)))
FCI_WWC15(series,  m=floor(1+T^0.65))
series<-FI.sim(T=T, q=2, rho=0.4, d=c(0.8,0.8))
FCI_WWC15(series,  m=floor(1+T^0.65))