FCI_N10 function

Nonparametric test for fractional cointegration (Nielsen (2010))

FCI_CH06 Nonparametric test and rank estimation for fractional cointegration by Nielson (2010). Returns either test statistic, critical value and testing decision (null hypothesis: no fractional cointegration) or the estimated cointegrating rank.

FCI_N10(X, d1 = 0.1, m, mean_correct = c("mean", "init", "weighted",
  "none"), type = c("test", "rank"), alpha = 0.05)

Arguments

• X: data matrix.
• d1: fixed order of integration, default is d1=0.1 as recommended by Nielsen (2010), no critical values for other choices available.
• m: bandwith parameter specifying the number of Fourier frequencies used for the memory estimation required for the asymptotic distribution, usually floor(1+T^delta), where 0<delta<1.
• mean_correct: specifies the form of mean correction in the memory estimation.
• type: string that determines whether the test or the rank estimation procedure is applied.
• alpha: desired significance level. Default is alpha=0.05.

Examples

T<-1000
series<-FI.sim(T=T, q=2, rho=0.4, d=c(0.1,0.9), B=rbind(c(1,-1),c(0,1)))
FCI_N10(series, m=floor(T^0.75), type="test")
series<-FI.sim(T=T, q=2, rho=0.4, d=c(0.9,0.9))
FCI_N10(series, m=floor(T^0.75), type="test")
series<-FI.sim(T=T, q=3, rho=0.4, d=c(0.2,0.2,1), B=rbind(c(1,-0.5,-0.3),c(0,1,-0.4),c(0,0,1)))
FCI_N10(series,m=floor(T^0.75),type="rank")

References

Nielsen, M. O. (2010): Nonparametric cointegration analysis of fractional systems with unknown integration orders. Journal of Econometrics, Vol. 155, No. 2, pp. 170 - 187.

Author(s)

Christian Leschinski, Michelle Voges