ARDL: parse_case – R documentation

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ARDL

parse_case

Case parser

Description

It parses the 'case' and checks the integrity of the 'case' input and the compatibility with the formula.

Usage

parse_case(parsed_formula, case)

Arguments

`parsed_formula`	A list containing the formula parts as returned from `parse_formula`.
`case`	An integer from 1-5 or a character string specifying whether the 'intercept' and/or the 'trend' have to participate in the short-run or the long-run relationship (cointegrating equation) (see section 'Cases' below).

Details

Note that the statistical significance of 'L(ect, 1)' in a RECM should not be tested using the corresponding t-statistic (or the p-value) because it doesn't follow a standard t-distribution. Instead, the bounds_t_test should be used.

Value

An integer from 1-5 representing the case.

References

Pesaran, M. H., Shin, Y., & Smith, R. J. (2001). Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics, 16(3), 289-326

Author(s)

Kleanthis Natsiopoulos, klnatsio@gmail.com