radf_mc_cv {exuber} | R Documentation |
Monte Carlo Critical Values
Description
radf_mc_cv
computes Monte Carlo critical values for the recursive unit
root tests. radf_mc_distr
computes the distribution.
Usage
radf_mc_cv(n, minw = NULL, nrep = 1000L, seed = NULL)
radf_mc_distr(n, minw = NULL, nrep = 1000L, seed = NULL)
Arguments
n |
A positive integer. The sample size. |
minw |
A positive integer. The minimum window size (default =
|
nrep |
A positive integer. The number of Monte Carlo simulations. |
seed |
An object specifying if and how the random number generator (rng)
should be initialized. Either NULL or an integer will be used in a call to
|
Value
For radf_mc_cv
a list that contains the critical values for ADF,
BADF, BSADF and GSADF test statistics. For radf_mc_distr
a list that
contains the ADF, SADF and GSADF distributions.
See Also
radf_wb_cv
for wild bootstrap critical values and
radf_sb_cv
for sieve bootstrap critical values
Examples
# Default minimum window
mc <- radf_mc_cv(n = 100)
tidy(mc)
# Change the minimum window and the number of simulations
mc2 <- radf_mc_cv(n = 100, nrep = 600, minw = 20)
tidy(mc2)
mdist <- radf_mc_distr(n = 100, nrep = 1000)
autoplot(mdist)