largevar_scel {Largevars} | R Documentation |
This is the "skeleton" version of the largevar function in the package. It is called within the sim_function function to make runtime faster. For the actual cointegration test, use the largevar function.
largevar_scel(data, k, r, fin_sample_corr)
data |
a numeric matrix where columns contain the individual time series that will be examined for presence of cointegrating relationships |
k |
The number of lags we wish to employ in the VECM form (default: k=1) |
r |
The number of cointegrating relationships we impose on the H1 hypothesis (default: r=1) |
fin_sample_corr |
A boolean variable indicating whether we wish to employ finite sample correction on our test statistic. Default is false. |
The test statistic.