Package: fracdist 0.1.2

fracdist: 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) <doi:10.3982/ECTA9299>, MacKinnon, J. G. and M. Ø. Nielsen (2014) <doi:10.1002/jae.2295>.

Authors:Lealand Morin [aut, cre]

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fracdist.pdf |fracdist.html✨
fracdist/json (API)
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Bug tracker:https://github.com/leemorinucf/fracdist/issues

On CRAN:

7 exports 1.02 score 0 dependencies 1 dependents 3 scripts 204 downloads

Last updated 5 months agofrom:c8d130a40f. Checks:OK: 7. Indexed: yes.

Exports:blocalcheck_fracdist_paramsfpcritfpvalfracdist_pvaluesfracdist_valuesget_fracdist_tab

Dependencies: