egcm (version 1.0.13)

egcm.defaults: Set and get defaults for Engle-Granger cointegration models

Description

Set and get defaults for Engle-Granger cointegration models

Usage

egcm.set.default.i1test(i1test)
egcm.default.i1test()
egcm.i1tests()
egcm.set.default.urtest(urtest)
egcm.default.urtest()
egcm.urtests()
egcm.set.default.pvalue(p)
egcm.default.pvalue()

Value

For egcm.default.i1test, returns the string representing the currently selected default I(1) test. For egcm.i1tests, returns a list of all available I(1) tests.

For egcm.default.urtest, returns the string represeting the currently selected unit root test. For egcm.urtests, returns a list of all available unit root tests.

For egcm.default.pvalue, returns the default p-value that will be used for rejecting the null hypothesis in the various statistical tests conducted by egcm.

The setter functions do not return a value.

Arguments

i1test

a mnemonic indicating the name of the test that should be used for checking if the input series are integrated. The following tests are supported:

• "adf" Augmented Dickey-Fuller test (see adf.test)

• "pp" Phillips-Perron test (see pp.test)

• "pgff" Pantula, Gonzales-Farias and Fuller weighted symmetric estimate (see pgff.test)

• "bvr" Breitung's variance ratio (see bvr.test)

urtest

a mnemonic indicating the name of the test that should be used for checking if the residual series contains a unit root. The following tests are supported:

• "adf" Augmented Dickey-Fuller test (see adf.test)

• "pp" Phillips-Perron test (see pp.test)

• "pgff" Pantula, Gonzales-Farias and Fuller weighted symmetric estimate (see pgff.test)

• "bvr" Breitung's variance ratio (see bvr.test)

• "jo-e" Johansen's eigenvalue test (see ca.jo)

• "jo-t" Johansen's trace test (see ca.jo)

• "ers-p" Elliott, Rothenberg and Stock point optimal test (see ur.ers)

• "ers-d" Elliott, Rothenberg and Stock DF-GLS test (see ur.ers)

• "sp-r" Schmidt and Phillips rho statistic (see ur.sp)

• "hurst" Hurst exponent calculated using the corrected empirical method (see hurstexp)

p

the p-value should be used for rejecting the null hypothesis in the various statistical tests conducted by egcm.

Author

Matthew Clegg

See Also

egcm

Examples

# Get and set the current default I(1) test
egcm.default.i1test()
egcm.set.default.i1test("adf")

# Get and set the current default unit root test
egcm.default.urtest()
egcm.set.default.urtest("pp")

# Get and set the current default p-value
egcm.default.pvalue()
egcm.set.default.pvalue(0.01)