lookupCVtable function

Function for looking up tabulated critical values and associated p-values of HEGY test.

Function for looking up tabulated critical values and associated p-values,Hylleberg et. al (1990, Table 1a and Table 1b).

lookupCVtable(code)

Arguments

• code: Type of HEGY model, this will be automatically identified.

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