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
)

[Package Largevars version 1.0.3 Index]