egcm.defaults {egcm}

Set and get defaults for Engle-Granger cointegration models

Description

Set and get defaults for Engle-Granger cointegration models

Usage

egcm.set.default.i1test(i1test)
egcm.default.i1test()
egcm.i1tests()

egcm.set.default.urtest(urtest)
egcm.default.urtest()
egcm.urtests()

egcm.set.default.pvalue(p)
egcm.default.pvalue()

Arguments

i1test

a mnemonic indicating the name of the test that should be used for checking if the input series are integrated. The following tests are supported:

• "adf" Augmented Dickey-Fuller test (see adf.test)

• "pp" Phillips-Perron test (see pp.test)

• "pgff" Pantula, Gonzales-Farias and Fuller weighted symmetric estimate (see pgff.test)

• "bvr" Breitung's variance ratio (see bvr.test)

urtest

a mnemonic indicating the name of the test that should be used for checking if the residual series contains a unit root. The following tests are supported:

• "adf" Augmented Dickey-Fuller test (see adf.test)

• "pp" Phillips-Perron test (see pp.test)

• "pgff" Pantula, Gonzales-Farias and Fuller weighted symmetric estimate (see pgff.test)

• "bvr" Breitung's variance ratio (see bvr.test)

• "jo-e" Johansen's eigenvalue test (see ca.jo)

• "jo-t" Johansen's trace test (see ca.jo)

• "ers-p" Elliott, Rothenberg and Stock point optimal test (see ur.ers)

• "ers-d" Elliott, Rothenberg and Stock DF-GLS test (see ur.ers)

• "sp-r" Schmidt and Phillips rho statistic (see ur.sp)

• "hurst" Hurst exponent calculated using the corrected empirical method (see hurstexp)

p

the p-value should be used for rejecting the null hypothesis in the various statistical tests conducted by egcm.

Value

For egcm.default.i1test, returns the string representing the currently selected default I(1) test. For egcm.i1tests, returns a list of all available I(1) tests.

For egcm.default.urtest, returns the string represeting the currently selected unit root test. For egcm.urtests, returns a list of all available unit root tests.

For egcm.default.pvalue, returns the default p-value that will be used for rejecting the null hypothesis in the various statistical tests conducted by egcm.

The setter functions do not return a value.

Note

Changing the default value only affects egcm objects created after the change is made.

Author(s)

Matthew Clegg [e-mail]

See Also

egcm

Examples

# Get and set the current default I(1) test
egcm.default.i1test()
egcm.set.default.i1test("adf")

# Get and set the current default unit root test
egcm.default.urtest()
egcm.set.default.urtest("pp")

# Get and set the current default p-value
egcm.default.pvalue()
egcm.set.default.pvalue(0.01)