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>.
| Version: | 0.1.1 |
| Depends: | R (≥ 2.10) |
| Suggests: | testthat (≥ 3.0.0) |
| Published: | 2021-05-25 |
| DOI: | 10.32614/CRAN.package.fracdist |
| Author: | Lealand Morin [aut, cre] |
| Maintainer: | Lealand Morin <lealand.morin at ucf.edu> |
| BugReports: | https://github.com/LeeMorinUCF/fracdist/issues |
| License: | GPL-3 |
| URL: | https://github.com/LeeMorinUCF/fracdist |
| NeedsCompilation: | no |
| Language: | en-US |
| Materials: | NEWS |
| CRAN checks: | fracdist results |
Documentation:
| Reference manual: | fracdist.html ,fracdist.pdf |
Downloads:
| Package source: | fracdist_0.1.1.tar.gz |
| Windows binaries: | r-devel:fracdist_0.1.1.zip, r-release:fracdist_0.1.1.zip, r-oldrel:fracdist_0.1.1.zip |
| macOS binaries: | r-release (arm64):fracdist_0.1.1.tgz, r-oldrel (arm64):fracdist_0.1.1.tgz, r-release (x86_64):fracdist_0.1.1.tgz, r-oldrel (x86_64):fracdist_0.1.1.tgz |
Reverse dependencies:
| Reverse imports: | FCVAR |
Linking:
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