largevar_scel {Largevars}R Documentation

Internal skeleton function of cointegration test for simfun function

Description

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.

Usage

largevar_scel(data, k, r, fin_sample_corr)

Arguments

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.

Value

The test statistic.


[Package Largevars version 1.0.2 Index]