largevar {Largevars} | R Documentation |
Cointegration test for settings of large N and T
Description
Runs the Bykhovskaya-Gorin test for cointegration. Paper can be found at: https://doi.org/10.48550/arXiv.2202.07150
Usage
largevar(
data = NULL,
k = 1,
r = 1,
fin_sample_corr = FALSE,
plot_output = TRUE,
significance_level = 0.05
)
Arguments
data |
A numeric matrix where the columns contain individual time series that will be examined for the presence of cointegrating relationships. |
k |
The number of lags that we wish to employ in the vector autoregression. The default value is k = 1. |
r |
The number of largest eigenvalues used in the test. The default value is r = 1. |
fin_sample_corr |
A boolean variable indicating whether we wish to employ finite sample correction on our test statistic. The default value is fin_sample_corr = FALSE. |
plot_output |
A boolean variable indicating whether we wish to generate a plot of the empirical distribution of eigenvalues. The default value plot_output = TRUE. |
significance_level |
Specify the significance level at which the decision about H0 should be made. The default value is significance_level = 0.05. |
Value
A list that contains the test statistic, a table with theoretical quantiles presented for r=1 to r=10, and the decision about H0 at the significance level specified by the user.
Examples
largevar(
data = matrix(rnorm(60, mean = 0.05, sd = 0.01), 20, 3),
k = 1,
r = 1,
fin_sample_corr = FALSE,
plot_output = FALSE,
significance_level = 0.05
)