hegy.rs.pvalue: P-values based on response surface regressions for the HEGY test statistics

Description

Compute p-values for the Hylleberg, Engle, Granger and Yoo (HEGY) test statistic by interpolation in precompiled response surfaces.

Usage

hegy.rs.pvalue(x, type = c("zero", "pi", "pair", "seasall", "all"),  deterministic = c(1, 0, 0), lag.method = c("fixed", "AIC", "BIC"), lag.order, S, n, nobsreg)

Arguments

a numeric, the value of the HEGY statistic.

type

a character, the type of test statistic, the regressor(s) to which the statistic is related.

deterministic

a vector of length three containing zeros and ones to indicate, respectively, whether a constant, a trend or seasonal dummies should be included in the regression equation of the test.

lag.method

a character specifying the lag order selection criterion.

lag.order

a numeric, the lag order employed in the auxiliary regression.

numeric, the periodicity of the data.

numeric, the number of observations.

nobsreg

an integer indicating the number of points employed in the response surface regression.

Value

A numeric, the p-value.

Details

Ported from Gretl code provided by Díaz-Emparanza (2014).

The original source includes tables with coefficients for the calculation of p-values when the HQC lag order selection criterion is used. These tables are not included here.

The case with no deterministic terms (deterministic = c(0,0,0)) is not considered.

This function is mainly intended to be used internally by hegy.test.

References