blocal {fracdist} | R Documentation |
blocal
calculates an approximation to the CDF for a particular
value of the fractional integration parameter b.
blocal(nb = 31, bb, estcrit, bval)
nb |
The integer number of values of the fractional integration
parameter |
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 |
A numeric scalar that is the sum of regression coefficients from a response surface regression.
The fractional integration parameter b
must lie within
the interval [0.50, 2]
. If b
is less than 0.5,
the relevant distribution is chi-squared. A value above 2 is less common
but might be avoided by differencing the data before estimating the model
under consideration.
James G. MacKinnon and Morten Ørregaard Nielsen, "Numerical Distribution Functions of Fractional Unit Root and Cointegration Tests," Journal of Applied Econometrics, Vol. 29, No. 1, 2014, pp.161-171.
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)