FCI_R08 function

Hausman-type test for fractional cointegration (Robinson (2008))

FCI_R08 Semiparametric Hausmann-type test for fractional cointegration by Robinson (2008). Returns test statistic, critical value, testing decision and type. Null hypothesis: no fractional cointegration.

FCI_R08(X, m, type = c("", "*", "**"), alpha = 0.05, a.vec = NULL)

Arguments

• X: data matrix.
• m: bandwith parameter specifying the number of Fourier frequencies used for the estimation, usually floor(1+T^delta), where 0<delta<1.
• type: determines the implementation of the test statistic: "" - real-valued, "*" - complex-valued, or "**" - complex-valued allowing for different memory parameters.
• alpha: desired significance level. Default is alpha=0.05.
• a.vec: weighting scheme for averaging univariate memory estimates, default is simple arithmetic mean.

Examples

T<-1000
series<-FI.sim(T=T, q=2, rho=0.9, d=c(0.1,0.4), B=rbind(c(1,-1),c(0,1)))
FCI_R08(series, m=floor(T^0.75), type="*")
series<-FI.sim(T=T, q=2, rho=0.9, d=c(0.4,0.4))
FCI_R08(series,  m=floor(T^0.75), type="*")

References

Robinson, P. (2008): Diagnostic testing for cointegration. Journal of Econometrics, Vol. 143, No. 1, pp. 206 - 225.

Author(s)

Christian Leschinski, Michelle Voges