| pco-package {pco} | R Documentation |
Panel Cointegration Tests
Description
Computation of the Pedroni (1999) panel cointegration test statistics. Reported are the empirical values and the standardized values (as suggested in Pedroni, 1999).
Details
| Package: | pco |
| Type: | Package |
| Version: | 1.0.1 |
| Date: | 2015-07-26 |
| License: | GPL-2 |
Computation of the Pedroni (1999) panel cointegration test statistics. Reported are the empirical and the standardized values (as suggested in Pedroni, 1999).
The package includes two functions: 'pedroni99' is for the bivariate case (one Y, one X, no NA values), data must be in matrices (easier for use); 'pedroni99m' is for the multivariate case (one Y, multiple X, no NA values), data must be in an array of all variables.
Author(s)
Georgi Marinov Maintainer: Georgi Marinov <georgi.marinov@ue-varna.bg>
References
Newey, Whitney K.; West, Kenneth D. (1994). "Automatic lag selection in covariance matrix estimation". Review of Economic Studies 61 (4): 631-654.
Pedroni, Peter, 1999. "Critical Values for Cointegration Tests in Heterogeneous Panels with Multiple Regressors," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(0), pages 653-70, Special I.
See Also
Examples
data(gdi)
data(gds)
pedroni99(gdi, gds)
xx<-array(cumsum(rnorm(10000)),dim=c(100,20,5))
pedroni99m(xx)