partition.X {LongMemoryTS} | R Documentation |
Automated partitioning of estimated vector of long memory parameters into subvectors with equal memory.
Description
partition.X
conducts a sequence of tests for the equality of
two or more estimated memory parameters to find possible partitions
of a vector into subvectors with equal memory parameters.
The procedure follows Robinson and Yajima (2002).
Usage
partition.X(data, d.hat, m, m1, alpha = 0.05, report = FALSE)
Arguments
data |
(Txq) data matrix |
d.hat |
(qx1) vector of d-estimates obtained using a local Whittle method such as that described in Robinson (1995). |
m |
the bandwidth parameter to be used for estimation of G |
m1 |
the bandwidth parameter used for estimation of d.vec with m1>>m |
alpha |
the desired significance level for the tests |
report |
either |
Details
add a lot of details.
References
Robinson, P. M. (1995): Gaussian semiparametric estimation of long rang dependence. The Annals of Statistics, Vol. 23, No. 5, pp. 1630-1661.
Robinson, P. M. and Yajima, Y. (2002): Determination of cointegrating rank in fractional systems. Journal of Econometrics, Vol. 106, No.2, pp. 217-241.
See Also
Examples
library(fracdiff)
T<-1000
d1<-0.2
d2<-0.4
X<-cbind(fracdiff.sim(n=T,d=d1)$series,fracdiff.sim(n=T,d=d1)$series,
fracdiff.sim(n=T,d=d2)$series,fracdiff.sim(n=T,d=d2)$series)
alpha<-0.05
m1<-floor(1+T^0.75)
m<-floor(1+T^0.65)
d.hat<-c(local.W(X[,1],m=m1)$d,local.W(X[,2],m=m1)$d,local.W(X[,3],m=m1)$d,local.W(X[,4],m=m1)$d)
partition.X(data=X, d.hat=d.hat, m=m, m1=m1, alpha=0.05, report=TRUE)