FCI_SRFB18 function

Frequency-domain test for fractional cointegration (Souza, Reise, Franco, Bondon (2018))

FCI_CH06 Semiparametric frequency-domain test for fractional cointegration by Souza, Reise, Franco, Bondon (2018). Returns test statistic, critical value, testing decision and estimate of the cointegrating strength. Null hypothesis: no fractional cointegration.

FCI_SRFB18(X, d, m, r, alpha = 0.05)

Arguments

• X: bivariate data matrix.
• d: known common memory parameter. However, simulations indicate that consistent memory estimation does not invalidate the test.
• m: bandwith parameter specifying the number of Fourier frequencies used for the estimation, usually floor(1+T^delta), where 0<delta<1.
• r: integer trimming parameter, r>0.
• alpha: desired significance level. Default is alpha=0.05.

Examples

T<-1000
series<-FI.sim(T=T, q=2, rho=0.4, d=c(0.1,0.7), B=rbind(c(1,-1),c(0,1)))
FCI_SRFB18(series, d=0.7, m=floor(T^0.75), r=1)
series<-FI.sim(T=T, q=2, rho=0.4, d=c(0.4,0.4))
FCI_SRFB18(series, d=0.4, m=floor(T^0.75), r=1)

References

Souza, I. V. M., Reisen, V. A., Franco, G. d. C. and Bondon, P. (2018): The estimation and testing of the cointegration order based on the frequency domain. Journal of Business & Economic Statistics, Vol. 36, No. 4, pp. 695 - 704.

Author(s)

Michelle Voges