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