sim_function {Largevars} | R Documentation |
Empirical p-value for cointegration test
Description
Runs a simulation on the H0 for the Bykhovskaya-Gorin test for cointegration and returns an empirical p-value. Paper can be found at: https://doi.org/10.48550/arXiv.2202.07150
Usage
sim_function(
N = NULL,
tau = NULL,
stat_value = NULL,
k = 1,
r = 1,
fin_sample_corr = FALSE,
sim_num = 1000,
seed = NULL
)
Arguments
N |
The number of time series used in simulations. |
tau |
The length of the time series used in simulations. |
stat_value |
The test statistic value for which the p-value is calculated. |
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 statistics. The default value is fin_sample_corr = FALSE. |
sim_num |
The number of simulations that the function conducts for H0. The default value is sim_num = 1000. |
seed |
The random seed that a user can set for replicable simulation results. The default value is seed = NULL. |
Value
A list that contains the simulation values, the empirical percentage (realizations larger than the test statistic provided by the user) and a histogram.
Examples
sim_function(N=90, tau=501, stat_value=-0.27,k=1,r=1,sim_num=30, seed = 0)