get_fracdist_tab {fracdist}

Obtain Lookup Tables of Probabilities and Quantiles

Description

get_fracdist_tab selects a table of probabilities and quantiles for a list of values of the fractional integration parameter, corresponding to a particular rank or dimension and the specification of a constant term.

Usage

get_fracdist_tab(iq, iscon, dir_name = NULL, file_ext = "rda")

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 tables are stored. This is not normally used, however, a user might want to draw the tables from another location.

file_ext

A string extension indicating the file format of the tables. The default is 'rda', which is the format of the tables included in the package. The tables may also be stored in 'RData' format. The tables accompanying the original Fortran program, on which this package is based, can be obtained in 'txt' format. See the reference for details.

Value

A data frame with three columns: bbb is the fractional integration parameter, probs are the probability values, and xndf is the probs 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.

Examples

frtab <- get_fracdist_tab(iq = 1, iscon = 0)