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t_bounds_sim

Critical value bounds stochastic simulation for t-bounds test for no cointegration


Description

t_bounds_sim simulates the critical value bounds for the t-bounds test for no cointegration Pesaran et al. (2001).

Usage

t_bounds_sim(case, k, alpha, T, R = 40000)

Arguments

case

An integer (1, 3 or 5) specifying whether the 'intercept' and/or the trend' have to participate in the short-run relationship (see section 'Cases' in bounds_t_test).

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.

Value

t_bounds_sim returns a data frame with the critical value bounds for the t-statistic.

Author(s)

Kleanthis Natsiopoulos, klnatsio@gmail.com

See Also


ARDL

ARDL, ECM and Bounds-Test for Cointegration

v0.1.1
GPL-3
Authors
Kleanthis Natsiopoulos [aut, cre] (<https://orcid.org/0000-0003-1180-2984>), Nickolaos Tzeremes [aut] (<https://orcid.org/0000-0002-6938-3404>)
Initial release

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