coint_pouliaris¶
Purpose¶
Asymptotic critical values for residual based tests for cointegration.
Format¶
-
{ Zt, Za, cvZt, cvZa } =
coint_pouliaris
(y, x, model[, bwl, varm])¶ - Parameters:
y (Nx1 matrix) – Dependent variable.
x (NxK matrix) – Independent variable.
model (Scalar) –
Model to be implemented.
0
None
1
Constant only
2
Constant and trend
bwl (Scalar) – Optional, bandwidth length for long-run variance computation. Default = round(4 * (T/100)^(2/9)).
varm (Scalar) –
Optional, long-run consistent variance estimation method. Default = 1.
1
iid.
2
Bartlett.
3
Quadratic Spectral (QS).
4
SPC with Bartlett (Sul, Phillips & Choi, 2005)
5
SPC with QS
6
Kurozumi with Bartlett
7
Kurozumi with QS
- Returns:
Zt (Scalar) – Phillips & Ouliaris (1989) Zt test
Za (Scalar) – Phillips & Ouliaris (1989) Za test
cvZt (Scalar) – 1%, 5%, 10% critical values for ADF and Zt test statistics.
cvZa (Scalar) – 1%, 5%, 10% critical values for Za test statistics.
Examples¶
new;
cls;
library tspdlib;
// Load dataset
data = loadd(getGAUSSHome() $+ "pkgs/tspdlib/examples/ts_coint.csv",
"Y1 + Y2 + Y3 + Y4 + date($Date, '%b-%y')");
// Define y and x matrix
y = data[., 1];
x = data[., 2:cols(data)];
// No constant or trend
model = 0;
// Call test
{ Zt, Za, cvZt, cvZa } = coint_pouliaris(y, x, model);
Source¶
coint_pouliaris.src