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fracdist  

Numerical CDFs for Fractional Unit Root and Cointegration Tests
View on CRAN: Click here


Download and install fracdist package within the R console
Install from CRAN:
install.packages("fracdist")

Install from Github:
library("remotes")
install_github("cran/fracdist")

Install by package version:
library("remotes")
install_version("fracdist", "0.1.1")



Attach the package and use:
library("fracdist")
Maintained by
Lealand Morin
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2021-05-25
Latest Update: 2021-05-25
Description:
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.
How to cite:
Lealand Morin (2021). fracdist: Numerical CDFs for Fractional Unit Root and Cointegration Tests. R package version 0.1.1, https://cran.r-project.org/web/packages/fracdist. Accessed 29 Jan. 2025.
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Complete documentation for fracdist
Functions, R codes and Examples using the fracdist R package
Some associated functions: blocal . check_fracdist_params . dot-fracdist . fpcrit . fpval . fracdist_pvalues . fracdist_values . get_fracdist_tab . 
Some associated R codes: fracdist.R .  Full fracdist package functions and examples
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