Critical value bounds stochastic simulation for t-bounds test for no cointegration
t_bounds_sim
simulates the critical value bounds for the t-bounds test
for no cointegration Pesaran et al. (2001).
t_bounds_sim(case, k, alpha, T, R = 40000)
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 |
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. |
t_bounds_sim
returns a data frame with the critical value
bounds for the t-statistic.
Kleanthis Natsiopoulos, klnatsio@gmail.com
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