interpolpval

Hylleberg et. al (1990,pp.226-227) offer simulated critical values for seasonal unitr to test. interpolpval() is an internal call and should not be used independently.

Threshold model, panel version of Hylleberg et al. (1990) <DOI:10.1016/0304-4076(90)90080-D> seasonal unit root tests, and panel unit root test of Chang (2002) <DOI:10.1016/S0304-4076(02)00095-7>.

Ho Tsung-wu

Threshold Model and Unit Root Tests in Cross-Section and Time
Series Data

interpolpval function

<dl> <dt>code</dt>
<dd>Type of HEGY model, this will be automatically identified.</dd> <dt>stat</dt>
<dd>Empirical test statistics.</dd> <dt>N</dt>
<dd>Sample size calculating stat above.</dd> <dt>swarn</dt>
<dd>Logical. Whether the warning message for negative p-value will be returned? The default is TRUE.</dd></dl>

Arguments

Ho Tsung-wu &lt;tsungwu@ntnu.edu.tw&gt;, modifed from Javier Lopez-de-Lacalle

Author

Extracting critical value and p-value from Table 1 of Hylleberg et. al (1990) — interpolpval

<dl>

 <dt>code</dt>
<dd>Type of HEGY model, this will be automatically identified.</dd>

 <dt>stat</dt>
<dd>Empirical test statistics.</dd>

 <dt>N</dt>
<dd>Sample size calculating stat above.</dd>

 <dt>swarn</dt>
<dd>Logical. Whether the warning message for negative p-value will be returned? The default is TRUE.</dd>

</dl>

interpolpval: Extracting critical value and p-value from Table 1 of Hylleberg et. al (1990)

Description

Usage

Value

Arguments

Author

References