coint_shin

Purpose

Computes a residual based test for the null of cointegration using a structural single equation model.

Format

{ CIols, CIdols, cv } = coint_shin(y, x, model[, bwl, varm, q])
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

  • q (Scalar) – Optional, number of leads and lags for DOLS estimation. Default = int(4 * (t/100)^(2/9)).

Returns:

  • CIols (Scalar) – CI test based on OLS estimation

  • CIDols (Scalar) – CI test based on DOLS estimation

  • cv (Scalar) – 1%, 5%, 10% critical values for the model chosen.

Examples

library tspdlib;

// Load dataset
data = loadd(getGAUSSHome() $+ "pkgs/tspdlib/examples/ts_coint.csv",
                          ". + date($Date, '%b-%y')");

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

// No constant
model = 0;

// Call test
{ CIols, CIdols, cv} = coint_shin(y, x, model);

Source

coint_shin.src

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