R Under development (unstable) (2024-10-26 r87273 ucrt) -- "Unsuffered Consequences" Copyright (C) 2024 The R Foundation for Statistical Computing Platform: x86_64-w64-mingw32/x64 R is free software and comes with ABSOLUTELY NO WARRANTY. You are welcome to redistribute it under certain conditions. Type 'license()' or 'licence()' for distribution details. R is a collaborative project with many contributors. Type 'contributors()' for more information and 'citation()' on how to cite R or R packages in publications. Type 'demo()' for some demos, 'help()' for on-line help, or 'help.start()' for an HTML browser interface to help. Type 'q()' to quit R. > library(tsDyn) > suppressWarnings(RNGversion("3.5.3")) > > data(zeroyld) > data<-zeroyld > > ## Test against paper: > all.equal(round(TVECM.HStest(data, lag=1, intercept=TRUE, nboot=0)$stat,4),20.5994) [1] TRUE > all.equal(round(TVECM.HStest(data, lag=2, intercept=TRUE, nboot=0)$stat,4),28.2562 ) [1] TRUE > all.equal(round(TVECM.HStest(data, lag=3, intercept=TRUE, nboot=0)$stat,4), 29.9405 ) [1] "Mean relative difference: 0.01292669" > > > ## prob: > all.equal(round(TVECM.HStest(data, lag=2, intercept=TRUE, nboot=0, fixed.beta=1)$stat,4),29.5295) [1] "Mean relative difference: 0.005730698" > all.equal(round(TVECM.HStest(data, lag=1, intercept=TRUE, nboot=0, fixed.beta=1)$stat,4),21.5586 ) [1] "Mean relative difference: 0.02895189" > > ## Test: no boot > TVECM.HStest(data, lag=1, intercept=TRUE, ngridTh=50, nboot=0) ## Test of linear versus threshold cointegration of Hansen and Seo (2002) ## Test Statistic: 18.2336 (Maximized for threshold value: -0.1002829 ) > TVECM.HStest(data, lag=1, intercept=FALSE, ngridTh=50, nboot=0) ## Test of linear versus threshold cointegration of Hansen and Seo (2002) ## Test Statistic: 16.06721 (Maximized for threshold value: -0.4225114 ) > TVECM.HStest(data, lag=1, intercept=TRUE, nboot=0) ## Test of linear versus threshold cointegration of Hansen and Seo (2002) ## Test Statistic: 20.59942 (Maximized for threshold value: -0.04805437 ) > TVECM.HStest(data, lag=1, intercept=FALSE, nboot=0) ## Test of linear versus threshold cointegration of Hansen and Seo (2002) ## Test Statistic: 16.06721 (Maximized for threshold value: -0.4225114 ) > > > ## Test: boot > set.seed(123) > t1<-TVECM.HStest(data, lag=1, intercept=TRUE, ngridTh=50, nboot=5) > set.seed(123) > t2<-TVECM.HStest(data, lag=1, intercept=FALSE, ngridTh=50, nboot=5) > set.seed(123) > t3<-TVECM.HStest(data, lag=1, intercept=TRUE, ngridTh=50, nboot=5, boot.type="ResBoot") > set.seed(123) > t4<-TVECM.HStest(data, lag=1, intercept=FALSE, ngridTh=50, nboot=5, boot.type="ResBoot") > > ## Test: methodst1 > summary(t1) ## Test of linear versus threshold cointegration of Hansen and Seo (2002) ## Test Statistic: 18.2336 (Maximized for threshold value: -0.1002829 ) P-Value: 0 ( Fixed regressor bootstrap ) Critical values: 0.90% 0.95% 0.99% 15.5439 15.6446 15.72516 Number of bootstrap replications: 5 Cointegrating value (estimated under restricted linear model): -1.022065 > plot(t1) > plot(t1, which="Density") > plot(t1, which="LM values") > t2 ## Test of linear versus threshold cointegration of Hansen and Seo (2002) ## Test Statistic: 16.06721 (Maximized for threshold value: -0.4225114 ) P-Value: 0 ( Fixed regressor bootstrap ) > summary(t2) ## Test of linear versus threshold cointegration of Hansen and Seo (2002) ## Test Statistic: 16.06721 (Maximized for threshold value: -0.4225114 ) P-Value: 0 ( Fixed regressor bootstrap ) Critical values: 0.90% 0.95% 0.99% 14.69722 14.97985 15.20596 Number of bootstrap replications: 5 Cointegrating value (estimated under restricted linear model): -1.022065 > t3 ## Test of linear versus threshold cointegration of Hansen and Seo (2002) ## Test Statistic: 18.2336 (Maximized for threshold value: -0.1002829 ) P-Value: 0 ( Residual Bootstrap ) > summary(t3) ## Test of linear versus threshold cointegration of Hansen and Seo (2002) ## Test Statistic: 18.2336 (Maximized for threshold value: -0.1002829 ) P-Value: 0 ( Residual Bootstrap ) Critical values: 0.90% 0.95% 0.99% 16.3054 17.18791 17.89392 Number of bootstrap replications: 5 Cointegrating value (estimated under restricted linear model): -1.022065 > t4 ## Test of linear versus threshold cointegration of Hansen and Seo (2002) ## Test Statistic: 16.06721 (Maximized for threshold value: -0.4225114 ) P-Value: 0.2 ( Residual Bootstrap ) > summary(t4) ## Test of linear versus threshold cointegration of Hansen and Seo (2002) ## Test Statistic: 16.06721 (Maximized for threshold value: -0.4225114 ) P-Value: 0.2 ( Residual Bootstrap ) Critical values: 0.90% 0.95% 0.99% 16.3054 17.18791 17.89392 Number of bootstrap replications: 5 Cointegrating value (estimated under restricted linear model): -1.022065 > > proc.time() user system elapsed 3.12 0.48 3.59