check_input_largevar {Largevars}R Documentation

Input checker for largevar function

Description

This is an internal function that checks the validity of the inputs of the largevar function.

Usage

check_input_largevar(
  data,
  k,
  r,
  fin_sample_corr,
  plot_output,
  significance_level
)

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

plot_output

A boolean variable indicating whether we wish to generate the distribution of the eigenvalues (default: TRUE)

significance_level

Specify the significance level at which the decision about the H0 should be made. For r=1 this can be any level of significance. For r=2 and r=3, the significance level input will be rounded up to the nearest of the following: 0.1, 0.05, 0.025, 0.01. If the significance level is larger than 0.1, the decision will be made at the 10% level. For r>3 only the test statistic is returned. For an empirical p-value for r>3 use the sim_function fun. in the package.

Value

Nothing (or warning message) if all inputs are correct, and an error message otherwise.


[Package Largevars version 1.0.3 Index]