FCI_MV04 function

Test for fractional cointegration (Marmol, Velasco (2004))

FCI_MV04 Semiparametric test for fractional cointegration by Marmol, Velasco (2004). Returns test statistic, critical value and testing decision. Null hypothesis: no fractional cointegration.

FCI_MV04(X, type = c("none", "const", "trend"), N, m, alpha = 0.05)

Arguments

• X: data matrix.
• type: string that is either "none", "const", or "trend" and determines the form of linear regression.
• N: bandwidth parameter specifying the number of Fourier frequencies used for the beta estimation, usually floor(1+T^delta), where 0<delta<1.
• m: bandwith parameter specifying the number of Fourier frequencies used for the memory parameter estimation, usually floor(1+T^delta), where 0<delta<1.
• alpha: desired significance level. Default is alpha=0.05.

Examples

T<-500
series<-FI.sim(T=T, q=2, rho=0.1, d=c(0.6,1), B=rbind(c(1,-1),c(0,1)))
FCI_MV04(series, type="const", N=floor(T^(0.75)), m=floor(T^(2/3)))
series<-FI.sim(T=T, q=2, rho=0.1, d=c(0.8,0.8))
FCI_MV04(series, type="const", N=floor(T^(0.75)), m=floor(T^(2/3)))

References

Marmol, F. and Velasco, C. (2004): Consistent testing of cointegrating relationships. Econometrica, Vol. 72, No. 6, pp. 1809 - 1844.

Author(s)

Christian Leschinski, Michelle Voges