combcoint (version 0.2.0)

bayerhanck: Joint Test-Statistic for the Null of Non-Cointegration

Description

Produces a joint test-statistic for the null of non-cointegration, aggregating various cointegration tests.

Usage

bayerhanck(formula, data, lags = 1, trend = "const", test = "all")

Value

bayerhanck returns an object of classes "bhtest" and "list".

The function summary is used to print a summary, which includes the test statistics and p-values for the underlying tests, as well as the test statistic and p-value for the Bayer Hanck Test.

An object of class "bhtest" is a "list" containing, inter alia, the components:

bh.test

the test statistic of the Bayer Hanck Test.

bh.pval

the p-Value of the Bayer Hanck Test.

test.stat

the test statistics of the underlying tests.

pval.stat

the p-values of the underlying tests.

Arguments

formula

An object of class formula to describe the model.

data

An optional data frame containing the variables in the model.

lags

Number of lags to be included.

trend

Type of deterministic component to be included. "none" for no deterministic, "const" for a constant and "trend" for a constant plus trend.

test

Selection of tests to choose from. Choices are either "ej", for englegranger and johansen, or "all", for englegranger, johansen, banerjee and boswijk.

References

Bayer, C. and Hanck, C. (2013). Combining non-cointegration tests. Journal of Time Series Analysis, 34(1), 83 -- 95. tools:::Rd_expr_doi("10.1111/j.1467-9892.2012.00814.x")

Examples

# Luetkepohl (2007): Economic data from West Germany
data(lutkepohl_e1)
bayerhanck(linvestment ~ lincome + lconsumption, data = lutkepohl_e1)
bayerhanck(linvestment ~ lincome + lconsumption, data = lutkepohl_e1, lags = 4)


if (FALSE) { # requireNamespace("MTS", quietly = TRUE)
# World Almanac and Book of Facts (1975): Monthly simple returns of the stocks of IBM,
# Coca Cola and S&P Composite index
try({
  data("mts-examples", package = "MTS")
  bayerhanck(sp ~ ibm + ko, data = ibmspko)
}, silent = TRUE)


}