Computes the Phillips-Ouliaris test for the null hypothesis that
x is not cointegrated.
Usage
po.test(x, demean = TRUE, lshort = TRUE)
Arguments
x
a matrix or multivariate time series.
demean
a logical indicating whether an intercept is included in
the cointegration regression or not.
lshort
a logical indicating whether the short or long version
of the truncation lag parameter is used.
Value
A list with class "htest" containing the following components:
statistic
the value of the test statistic.
parameter
the truncation lag parameter.
p.value
the p-value of the test.
method
a character string indicating what type of test was
performed.
data.name
a character string giving the name of the data.
Details
The Phillips-Perron Z(alpha) statistic for a unit root in the
residuals of the cointegration regression is computed, see also
pp.test. The unit root is estimated from a regression of
the first variable (column) of x on the remaining variables of
x without a constant and a linear trend. To estimate
sigma^2 the Newey-West estimator is used. If lshort is
TRUE, then the truncation lag parameter is set to
trunc(n/100), otherwise trunc(n/30) is used. The
p-values are interpolated from Table Ia and Ib, p. 189 of Phillips and
Ouliaris (1990). If the computed statistic is outside the table of
critical values, then a warning message is generated.
The dimension of x is restricted to six variables. Missing
values are not handled.
References
P. C. B. Phillips and S. Ouliaris (1990):
Asymptotic Properties of Residual Based Tests for Cointegration.
Econometrica58, 165--193.
# NOT RUN {x <- ts(diffinv(matrix(rnorm(2000),1000,2))) # no cointegrationpo.test(x)
x <- diffinv(rnorm(1000))
y <- 2.0-3.0*x+rnorm(x,sd=5)
z <- ts(cbind(x,y)) # cointegratedpo.test(z)
# }