wtestlr

internal

Compute the quantile autoregressive distributed lag model of Cho, Jin Seo & Kim, Tae-hwan & Shin, Yongcheol,(2015) <DOI:10.1016/j.jeconom.2015.05.003> and the short and long-run wald tests.

Zaghdoudi Taha

Qardl

Quantile Autoregressive Distributed Lag Model

wtestlr function

<dl><dt>cof</dt>
<dd>the estimated long-run parameter by qardl</dd>
<dt>covar</dt>
<dd>estimated covariance matrix</dd>
<dt>rca</dt>
<dd>R matrix in the null hypothesis</dd>
<dt>rsm</dt>
<dd>r matrix in the null hypothesis</dd>
<dt>data</dt>
<dd>the same data set used for qardl
#'data(exampledata)
hyp=hyptest(y~z1+z2,exampledata,maxlag=7,tau=c(0.25,0.5,0.75))
wlr=wtestlr(hyp$bigbt,hyp$lrvcov3, hyp$ca1,hyp$sm1,exampledata)
wlr</dd></dl>

Arguments

Function wtelslr beta — wtestlr

<dl>

<dt>cof</dt>
<dd>the estimated long-run parameter by qardl</dd>


<dt>covar</dt>
<dd>estimated covariance matrix</dd>


<dt>rca</dt>
<dd>R matrix in the null hypothesis</dd>


<dt>rsm</dt>
<dd>r matrix in the null hypothesis</dd>


<dt>data</dt>
<dd>the same data set used for qardl
#'data(exampledata)
hyp=hyptest(y~z1+z2,exampledata,maxlag=7,tau=c(0.25,0.5,0.75))
wlr=wtestlr(hyp$bigbt,hyp$lrvcov3, hyp$ca1,hyp$sm1,exampledata)
wlr</dd>

</dl>

wtestlr: Function wtelslr beta

Description

Usage

Arguments