Critical value bounds stochastic simulation for Wald bounds-test for no cointegration
f_bounds_sim simulates the critical value bounds for the Wald
bounds-test for no cointegration Pesaran et al. (2001) expressed both
as F-statistics and as Chisq-statistics.
f_bounds_sim(case, k, alpha, T, R = 40000)
case |
An integer from 1-5 specifying whether the 'intercept' and/or the
trend' have to participate in the long-run/cointegrating
relationship/equation (see section 'Cases' in |
k |
The number of independent variables. |
alpha |
A numeric vector between 0 and 1 indicating the significance level of the critical value bounds. Multiple values can be used. |
T |
An integer indicating the number of observations. |
R |
An integer indicating how many iterations will be used. Default is 40000. |
f_bounds_sim returns a list containing two data frames. One
with the critical value bounds for the F-statistic and one with the
critical value bounds for the Chisq-statistic.
Kleanthis Natsiopoulos, klnatsio@gmail.com
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