cointRegFM {cointReg} | R Documentation |
Computes the Phillips and Hansen (1990) Fully Modified OLS estimator.
cointRegFM(x, y, deter, kernel = c("ba", "pa", "qs", "tr"), bandwidth = c("and", "nw"), demeaning = FALSE, check = TRUE, ...)
x |
[ |
y |
[ |
deter |
[ |
kernel |
[ |
bandwidth |
[ |
demeaning |
[ |
check |
[ |
... |
Arguments passed to |
The equation for which the FM-OLS estimator is calculated:
y = δ * D + β * x + u
with D as the deterministics matrix. Then θ = (δ', β')' is the full parameter vector.
The calculation of t-values and the variance-covariance matrix is only
possible, if y
is one-dimensional.
[cointReg
]. List with components:
delta
[numeric
| matrix
]coefficients as vector / matrix
beta
[numeric
| matrix
]coefficients as vector / matrix
theta
[numeric
| matrix
]combined coefficients of
beta
and delta
as vector / matrix
sd.theta
[numeric
]standard errors for theta
t.theta
[numeric
]t-values for theta
p.theta
[numeric
]p-values for theta
residuals
[numeric
]FM-OLS residuals (first value is always missing)
omega.u.v
[numeric
]conditional long-run variance based on OLS residuals.
varmat
[matrix
]variance-covariance matrix
Omega
[list
]the whole long-run variance matrix and parts of it
beta.OLS
[numeric
| matrix
]OLS coefficients as vector / matrix
delta.OLS
[numeric
| matrix
]OLS coefficients as vector / matrix
u.OLS
[numeric
]OLS residuals
bandwidth
[list
]number
and name
of bandwidth
kernel
[character
]abbr. name of kernel type
Phillips, P.C.B. and B. Hansen (1990): "Statistical Inference in Instrumental Variables Regression with I(1) Processes," Review of Economic Studies, 57, 99–125, DOI:10.2307/2297545.
Other cointReg: cointRegD
,
cointRegIM
, cointReg
,
plot.cointReg
, print.cointReg
set.seed(1909) x1 = cumsum(rnorm(100, mean = 0.05, sd = 0.1)) x2 = cumsum(rnorm(100, sd = 0.1)) + 1 x3 = cumsum(rnorm(100, sd = 0.2)) + 2 x = cbind(x1, x2, x3) y = x1 + x2 + x3 + rnorm(100, sd = 0.2) + 1 deter = cbind(level = 1, trend = 1:100) test = cointRegFM(x, y, deter, kernel = "ba", bandwidth = "and") print(test)