Compute p-values by interpolation in the tables of critical values provided in the original references given below.
uroot.raw.pvalue(x, type = c("CH","HEGY"), v, n, ctd, S, Ftpi)
Arguments
x: a numeric. The value of the CH statistic.
type: a character specifying the type of test statistic.
v: numeric, the degrees of freedom of the Von Mises distribution. Only for type="CH".
n: numeric, the number of observations.
ctd: a character indicating the deterministic elements that were included in the HEGY regression. This argument is defined as paste(deterministic, collapse = ""), where deterministic is the argument of that name that was passed to hegy.test. Only for type="ADF" or type="HEGY".
S: numeric, the periodicity of the data.
Ftpi: a character indicating whether the type of statistic: "zero", t-test for the zero frequency; "pi", t-test for the frequency π; "pair", F-test for the pairs of complex conjugates frequencies. Only for type="ADF" or type="HEGY".
Details
This function is used internally by ch.test and hegy.test.
Returns
A numeric giving the calculated p-value.
See Also
ch.test, hegy.test.
References
Beaulieu, J. J. Miron, J. A. (1993) "Seasonal Unit Roots in Aggregate U.S. Data". Journal of Econometrics, 55 (1-2), pp. 305-328. DOI: tools:::Rd_expr_doi("10.1016/0304-4076(93)90018-Z") .
Canova, F. and Hansen, Bruce E. (1995) "Are Seasonal Patterns Constant over Time? A Test for Seasonal Stability". Journal of Business & Economic Statistics, 13 (3), pp. 237-252. DOI: tools:::Rd_expr_doi("10.1080/07350015.1995.10524598") .
Hylleberg, S., Engle, R., Granger, C. and Yoo, B. (1990) "Seasonal integration and cointegration". Journal of Econometrics 44 (1), pp. 215-238. DOI: tools:::Rd_expr_doi("10.1016/0304-4076(90)90080-D") .