interpolpval function

Extracting critical value and p-value from Table 1 of Hylleberg et. al (1990)

Hylleberg et. al (1990,pp.226-227) offer simulated critical values for seasonal unitr to test. interpolpval() is an internal call and should not be used independently.

interpolpval(code, stat, N, swarn = TRUE)

Arguments

• code: Type of HEGY model, this will be automatically identified.
• stat: Empirical test statistics.
• N: Sample size calculating stat above.
• swarn: Logical. Whether the warning message for negative p-value will be returned? The default is TRUE.

Returns

• table: Table for critical value and p-value.

References

Hylleberg, S., Engle, R.F., Granger, C.W.J., and Yoo, B.S.(1990) Seasonal integration and cointegration. Journal of Econometrics,44, 215-238.

Javier Lopez-de-Lacalle in https://github.com/cran/uroot/blob/master/R/hegy.R

Author(s)

Ho Tsung-wu tsungwu@ntnu.edu.tw, modifed from Javier Lopez-de-Lacalle