fracdist (version 0.1.1)

blocal: Interpolate Critical Values Local to Fractional Integration Parameter

Description

blocal calculates an approximation to the CDF for a particular value of the fractional integration parameter b.

Usage

blocal(nb = 31, bb, estcrit, bval)

Arguments

nb

The integer number of values of the fractional integration parameter \(b\). The default is 31, which is the number of gridpoints between 0.5 and 2.0 in the lookup tables.

bb

The fractional integration parameter, which can take on values between 0.5 and 2.0.

estcrit

A numeric scalar that is an estimate of the critical value, a quantile, corresponding to a particular probability.

bval

A numeric vector of the fractional integration parameter \(b\) ranging between 0.5 and 2.0 to match those in the lookup tables.

Value

A numeric scalar that is the sum of regression coefficients from a response surface regression.

References

James G. MacKinnon and Morten <U+00D8>rregaard Nielsen, "Numerical Distribution Functions of Fractional Unit Root and Cointegration Tests," Journal of Applied Econometrics, Vol. 29, No. 1, 2014, pp.161-171.

Examples

# NOT RUN {
frtab <- get_fracdist_tab(iq = 3, iscon = 0)
bval <- unique(frtab[, 'bbb'])
probs <- unique(frtab[, 'probs'])
estcrit <- frtab[frtab[, 'probs'] == probs[201], 'xndf']
bedf_i <- blocal(nb = 31, bb = 0.75, estcrit, bval)
# }