fracdist

Numerical CDFs for Fractional Unit Root and Cointegration Tests

CRAN Package

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.

  • Version0.1.1
  • R version≥ 2.10
  • LicenseGPL-3
  • Needs compilation?No
  • Languageen-US
  • Last release05/25/2021

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