FCI_CH06 function

Residual-based test for fractional cointegration (Chen, Hurvich (2006))

FCI_CH06 Semiparametric residual-based test for fractional cointegration by Chen, Hurvich (2003). Returns test statistic, critical value and testing decision. Null hypothesis: no fractional cointegration.

FCI_CH06(X, m_peri, m, alpha = 0.05, diff_param = 1)

Arguments

• X: data matrix.
• m_peri: fixed positive integer for averaging the periodogram, where m_peri>(nbr of series + 3)
• m: bandwith parameter specifying the number of Fourier frequencies used for the estimation, usually floor(1+T^delta), where 0<delta<1.
• alpha: desired significance level. Default is alpha=0.05.
• diff_param: integer specifying the order of differentiation in order to ensure stationarity of data, where diff_param-1 are the number of differences. Default is diff_param=1 for no differences.

Examples

T<-1000
series<-FI.sim(T=T, q=2, rho=0.4, d=c(0.1,0.4), B=rbind(c(1,-1),c(0,1)))
FCI_CH06(series, diff_param=1, m_peri=25, m=floor(T^0.65))
series<-FI.sim(T=T, q=2, rho=0.4, d=c(0.4,0.4))
FCI_CH06(series, diff_param=1, m_peri=25, m=floor(T^0.65))

References

Chen, W. W. and Hurvich, C. M. (2006): Semiparametric estimation of fractional cointegrating subspaces. The Annals of Statistics, Vol. 34, No. 6, pp. 2939 - 2979.

Author(s)

Christian Leschinski