Numerical CDFs for Fractional Unit Root and Cointegration Tests

Calculate numerical asymptotic distribution functions of likelihood ratio statistics for fractional unit root tests and tests of cointegration rank. For these distributions, the included functions calculate critical values and P-values used in unit root tests, cointegration tests, and rank tests in the Fractionally Cointegrated Vector Autoregression (FCVAR) model. The functions implement procedures for tests described in the following articles: Johansen, S. and M. Ø. Nielsen (2012) , MacKinnon, J. G. and M. Ø. Nielsen (2014) .


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install.packages("fracdist")

0.1.1 by Lealand Morin, 6 months ago


https://github.com/LeeMorinUCF/fracdist


Report a bug at https://github.com/LeeMorinUCF/fracdist/issues


Browse source code at https://github.com/cran/fracdist


Authors: Lealand Morin [aut, cre]


Documentation:   PDF Manual  


GPL-3 license


Suggests testthat


Imported by FCVAR.


See at CRAN