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(__FILE_DIR $+ "ts_coint.csv",
                          "Y1 + Y2 + Y3 + Y4 + date($Date, '%b-%y')");


// Define y and x matrix
y = data[., 1];
x = data[., 2:cols(data)];

// No constant or trend
model = 0;

{ Zt, Za, cvZt, cvZa } = coint_pouliaris(y, x, model);

Source

coint_pouliaris.src