fracdist_values {fracdist}

Calculate Critical Values or P-values for Fractional Unit Root and Cointegration Tests

Description

fracdist_values calculates either critical Values or P-values for for fractional unit root and cointegration tests

Usage

fracdist_values(
  iq,
  iscon,
  dir_name = NULL,
  bb,
  stat,
  ipc = TRUE,
  clevel = c(0.01, 0.05, 0.1)
)

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 0.0 and 2.0.

stat

A numeric scalar value of the test statistic. This is only used if P-values are required.

ipc

A logical indicator to calculate a P-value. If ipc == FALSE critical values are calculated instead.

clevel

The numeric scalar level of significance. The default is to calculate critical values for the conventional levels of significance: clevel = c(0.01, 0.05, 0.10).

Value

Either a numeric scalar P-value, if ipc == TRUE, otherwise, a numeric vector of critical values, the same length as clevel.

Note

For fractional integration orders between 0 and 0.5, the chi-square distribution is used. See Johansen and Nielsen 2012 for details.

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.

Johansen, S. and M. Ø. Nielsen (2012). "Likelihood inference for a fractionally cointegrated vector autoregressive model," Econometrica 80, pp.2667-2732.

See Also

Calls fpval to calculate P-values or fpcrit to calculate critical values, after performing some intermediate calculations.

Examples

# Calculate P-values:
fracdist_values(iq = 1, iscon = 0, bb = 0.43, stat = 3.84)
fracdist_values(iq = 1, iscon = 0, bb = 0.73, stat = 3.84)
# Calculate critical values:
fracdist_values(iq = 1, iscon = 0, bb = 0.73, ipc = FALSE, clevel = 0.05)
fracdist_values(iq = 1, iscon = 0, bb = 0.43, ipc = FALSE, clevel = 0.05)
fracdist_values(iq = 1, iscon = 0, bb = 0.73, ipc = FALSE)