FCI_ZRY18 function

Rank estimation in fractionally cointegrated systems (Zhang, Robinson, Yao (2018))

FCI_CH06 SRank estimation in fractionally cointegrated systems (Zhang, Robinson, Yao (2018)). Returns estimated cointegrating rank, r=0,...,dim-1.

FCI_ZRY18(X, lag_max, lag_max2 = 20, c0 = 0.3)

Arguments

• X: data matrix.
• lag_max: number of lags in autocovariance matrix of data for eigenvector estimation.
• lag_max2: number of residual autocorrelations that are averaged, default is m=20 as recommended by Zhang, Robinson, Yao (2018).
• c0: threshold to compare averaged residual autocorrelation to, default is c0=0.3 as recommended by Zhang, Robinson, Yao (2018).

Examples

T<-1000
series<-FI.sim(T=T, q=3, rho=0.4, d=c(0.2,0.2,1), B=rbind(c(1,0,-1),c(0,1,-1),c(0,0,1)))
FCI_ZRY18(series, lag_max=5, lag_max2=20, c0=0.3) 
series<-FI.sim(T=T, q=3, rho=0.4, d=c(1,1,1))
FCI_ZRY18(series, lag_max=5, lag_max2=20, c0=0.3)

References

Zhang, R., Robinson, P. and Yao, Q. (2018): Identifying cointegration by eigenanalysis. Journal of the American Statistical Association (forthcoming).

Author(s)

Michelle Voges