This is a library and pair of command-line programs to calculate p-values and critical values for tests of fractional unit roots and cointegration.
This program is modelled on that described in James G. MacKinnon and Morten Ørregaard Nielsen, "Numerical Distribution Functions of Fractional Unit Root and Cointegration Tests," Journal of Applied Econometrics, Vol. 29, No. 1, 2014, pp.161-171. The data from the data archive associated with the paper, http://qed.econ.queensu.ca/jae/datasets/mackinnon004/, is automatically downloaded when compiling this software.
This program consists of two command-line binaries: fdpval and fdcrit. The
former calculates p-values for test statistics, the latter calculates critical
test statistic values from p-values. Running each program without arguments
gives usage information for the programs.
The latest version of the source code of this library is available at https://github.com/jagerman/fracdist.
Binary releases are available at https://github.com/jagerman/fracdist/releases. An apt repository containing the latest release for Debian-derived distributions is available by adding one of the following lines to /etc/apt/sources.list:
deb https://imaginary.ca/debian sid main
deb https://imaginary.ca/debian jessie main
You may need to first install the apt-transport-https package; the repository is signed: the key can be installed to authenticate packages using the command:
curl -s https://imaginary.ca/public.gpg | sudo apt-key add -
Binary releases for other systems (Windows, OS X) are available from https://github.com/jagerman/fracdist/releases.
Binary releases of this program have no special requirements, and are available from https://github.com/jagerman/fracdist/releases.
Compiling this program requires a minimum of CMake, perl, and a C++ compiler supporting the C++11 standard (recent versions of clang and g++ will certainly work). See BUILDING.md for more details.
This program is free software: you can redistribute it and/or modify it under the terms of the GNU General Public License as published by the Free Software Foundation, either version 3 of the License, or (at your option) any later version.
This program is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more details.
You should have received a copy of the GNU General Public License along with this program. If not, see http://www.gnu.org/licenses/.
Note that this project uses data from http://qed.econ.queensu.ca/jae/datasets/mackinnon004/, which requests the following citation if the results are used in academic papers:
James G. MacKinnon and Morten Ø. Nielsen, "Numerical Distribution Functions of Fractional Unit Root and Cointegration Tests," Journal of Applied Econometrics, Vol. 29, No. 1, 2014, pp. 161-171.
See BUILDING.md.
See CHANGELOG.md.
[Jason Rhinelander](Jason Rhinelander) [email protected]
© 2014-2015 Jason Rhinelander [email protected]