P-values based on response surface regressions for the HEGY test statistics
P-values based on response surface regressions for the HEGY test statistics
Compute p-values for the Hylleberg, Engle, Granger and Yoo (HEGY) test statistic by interpolation in precompiled response surfaces.
hegy.rs.pvalue(x, type = c("zero","pi","pair","seasall","all"), deterministic = c(1,0,0), lag.method = c("fixed","AIC","BIC"), lag.order, S, n, nobsreg)
Arguments
x: a numeric, the value of the HEGY statistic.
type: a character, the type of test statistic, the regressor(s) to which the statistic is related.
deterministic: a vector of length three containing zeros and ones to indicate, respectively, whether a constant, a trend or seasonal dummies should be included in the regression equation of the test.
lag.method: a character specifying the lag order selection criterion.
lag.order: a numeric, the lag order employed in the auxiliary regression.
S: numeric, the periodicity of the data.
n: numeric, the number of observations.
nobsreg: an integer indicating the number of points employed in the response surface regression.
Details
Ported from Gretl code provided by Díaz-Emparanza (2014).
The original source includes tables with coefficients for the calculation of p-values when the HQC lag order selection criterion is used. These tables are not included here.
The case with no deterministic terms (deterministic = c(0,0,0)) is not considered.
This function is mainly intended to be used internally by hegy.test.
Returns
A numeric, the p-value.
See Also
hegy.test.
References
Díaz-Emparanza, I. (2014) "Numerical Distribution Functions for Seasonal Unit Root Tests"- Computational Statistics and Data Analysis 76 , pp. 237-247. DOI: tools:::Rd_expr_doi("10.1016/j.csda.2013.03.006") . Gretl code: https://www.ehu.eus/ignacio.diaz-emparanza/packages/Canova_Hansen.gfn/ (seems unavailable, so not linked)