fpval {fracdist}

Calculate P-values for Fractional Unit Root and Cointegration Tests

Description

fpval calculates P-values for a particular value of the observed statistic and a set of intermediate calculations that are output from other functions in the fracdist package.

Usage

fpval(npts = 9, iq, stat, probs, bedf, ginv)

Arguments

npts

An integer number of points for local approximation of the EDF near the observed value of stat. 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.

stat

A numeric scalar value of the test statistic.

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 P-value.

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_pvalues for the calculation of 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)
}
fpval(npts = 9, iq = 3, stat = 3.84, probs, bedf, ginv = qchisq(probs, df = 3^2))