fracdist_pvalues

An integer scalar rank parameter for the test, from 1 through 12.
This is often the difference in cointegration rank.

An indicator that there is a constant intercept
term in the model.

iscon

A string name of directory in which the approximating tables
are stored. This is not normally used, since sufficient tables are included in the package.
However, a user might want to draw the tables from another location.

dir_name

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

A numeric scalar value of the test statistic.

stat

<code>fracdist_pvalues</code> calculates P-values for a particular value of the observed
statistic.

Calculate numerical asymptotic distribution functions of likelihood ratio
statistics for fractional unit root tests and tests of cointegration rank.
For these distributions, the included functions calculate critical values
and P-values used in unit root tests, cointegration tests, and rank tests
in the Fractionally Cointegrated Vector Autoregression (FCVAR) model.
The functions implement procedures for tests described in the following articles:
Johansen, S. and M. <c3><98>. Nielsen (2012) <doi:10.3982/ECTA9299>,
MacKinnon, J. G. and M. <c3><98>. Nielsen (2014) <doi:10.1002/jae.2295>.

fracdist_pvalues: Calculate P-values for Fractional Unit Root and Cointegration Tests

Description

Usage

Arguments

Value

References

See Also

Examples