coint#

swordfish.function.coint()#

Test for no-cointegration of a univariate equation.

Parameters:

  • Y0 (Constant) – A numeric vector indicating the first element in cointegrated system. Null values are not supported.

  • Y1 (Constant) – A numeric vector or matrix indicating the remaining elements in cointegrated system. The number of elements in Y1 and Y0 must be equal. Null values are not supported.

  • trend (Constant) –

    A scalar specifying the trend term included in regression for cointegrating equation. It can be

    • ”c” : constant.

    • ”ct” : constant and linear trend.

    • ”ctt” : constant, and linear and quadratic trend.

    • ”n” : no constant, no trend.

  • method (Constant) – A string indicating the method for cointegration testing. Only “aeg” (augmented Engle-Granger) is available.

  • maxLag (Constant) – A non-negative integer indicating the largest number of lags, which is used as an argument for adfuller.

  • autoLag (Constant) –

    A string indicating the lag selection criterion, which is used as an argument for adfuller. It can be:

    • ”aic”: The number of lags is chosen to minimize the Akaike information criterion.

    • ”bic”: The number of lags is chosen to minimize the Bayesian information criterion.

    • ”tstat”: Start with maxLag and drops a lag until the t-statistic on the last lag length is significant using a 5%-sized test.

    • ”max”: The number of included lags is set to maxLag.

Returns:

A dictionary containing the following keys:

  • tStat: A floating-point scalar indicating the t-statistic of unit-root test on residuals.

  • pValue: A floating-point scalar indicating the MacKinnon’s approximate p-value based on MacKinnon (1994, 2010).

  • criticalValues: A dictionary containing the critical values for the test statistic at the 1 %, 5 %, and 10 % levels based on regression curve.

Return type:

Constant

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