fracdist_pvalues {fracdist}

Calculate P-values for Fractional Unit Root and Cointegration Tests

Description

fracdist_pvalues calculates P-values for a particular value of the observed statistic.

Usage

fracdist_pvalues(iq, iscon, dir_name = NULL, bb, stat)

Arguments

iq

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

iscon

An indicator that there is a constant intercept term in the model.

dir_name

A string name of directory in which the approximating tables are stored. This is not normally used, since sufficient tables are included in the package. However, a user might want to draw the tables from another location.

bb

The fractional integration parameter, which can take on values between 0.5 and 2.0.

stat

A numeric scalar value of the test statistic.

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

Calls fpval for the calculation of P-values after performing some intermediate calculations.

Examples

fracdist_pvalues(iq = 1, iscon = 0, bb = 0.73, stat = 3.84)