coint_tsongetal¶
Purpose¶
Computes the test of the null of cointegration allowing for structural breaks of unknown form in deterministic trend by using the Fourier form.
Format¶
-
{ CIfols, FFols, CIfdols, FFdols, cv, Fols, Fdols } =
coint_tsongetal(y, x, model[, bwl, kmax, varm, q])¶ - Parameters:
y (Nx1 matrix) – Dependent variable.
x (NxK matrix) – Independent variable.
model (Scalar) –
Model to be implemented.
1
Level shift model with Fourier
2
Level & trend shift model with Fourier
bwl (Scalar) – Optional, bandwidth length for long-run variance computation. Default = round(4 * (T/100)^(2/9)).
kmax (Scalar) – Optional, maximum number of Fourier frequency. Default = 5.
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.
FFols (Scalar) – Optimal Fourier frequency based on OLS estimation.
CIDols (Scalar) – CI test based on DOLS estimation
FFdols (Scalar) – Optimal Fourier frequency based on DOLS estimation.
Fols (Scalar) – F-stat for Fourier terms significance based on OLS.
Fdols (Scalar) – F-stat for Fourier terms significance based on DOLS.
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)];
// Level shift
model = 1;
// Call test
{ CIfols, FFols, CIfdols, FFdols, cv_fourier, Fols, Fdols } = coint_tsongetal(y, x, model);
Source¶
coint_tsongetal.src