fpcrit {fracdist}

Calculate Critical Values for Fractional Unit Root and Cointegration Tests

Description

fcrit calculates critical values for a particular level of significance and a set of intermediate calculations that are output from other functions in the fracdist package.

Usage

fpcrit(npts = 9, iq, clevel, probs, bedf, ginv)

Arguments

npts

An integer number of points for local approximation of the EDF near the level of significance clevel. It is usually 9, unless near a boundary.

iq

An integer scalar rank parameter for the test, from 1 through 12. This is often the difference in cointegration rank.

clevel

The numeric scalar level of significance.

probs

A numeric vector of probabilities over which an approximating empirical distribution function is obtained, taken from precalculated tables.

bedf

A numeric vector of quantiles of numerical distribution for specified value of fractional integration order b or values of b and d, depending on the particular model. Each element is the output of the function blocal.

ginv

A numeric vector of quantiles of the approximating chi-squared distribution.

Value

A numeric scalar critical value, a quantile of the distribution.

References

James G. MacKinnon and Morten Ørregaard Nielsen, "Numerical Distribution Functions of Fractional Unit Root and Cointegration Tests," Journal of Applied Econometrics, Vol. 29, No. 1, 2014, pp.161-171.

See Also

fracdist_values for the calculation of critical values and P-values including any intermediate calculations.

Examples

frtab <- get_fracdist_tab(iq = 3, iscon = 0)
bval <- unique(frtab[, 'bbb'])
probs <- unique(frtab[, 'probs'])
bedf <- rep(NA, length(probs))
for (i in 1:length(probs)) {
    estcrit <- frtab[frtab[, 'probs'] == probs[i], 'xndf']
    bedf[i] <- blocal(nb = 31, bb = 0.75, estcrit, bval)
}
fpcrit(npts = 9, iq = 3, clevel = 0.05, probs, bedf, ginv = qchisq(probs, df = 3^2))