{"id":21090128,"url":"https://github.com/alanleal-econ/ncointtest_matlab","last_synced_at":"2026-05-17T21:32:46.066Z","repository":{"id":253459151,"uuid":"340040008","full_name":"alanleal-econ/ncointtest_matlab","owner":"alanleal-econ","description":"Implements Souza et al. 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The function takes five arguments:x and y, which are two time series, without missings, \nd, which is the order of integration of the two time series; b, which is the bandwidth in the test and it is a percentage of the number of observations, with n^b being the number of observations used in the test;\nand r, which is the number of neighboring frequencies to be utilized in estimating the density spectral matrix.. \n\n\nAcknowledgements \n\nThis command was translated from code belonging to Prof. Igor Viveiro Melo Souza, who graciouly allowed for its translation. MATLAB function for fractionary differentiation was based on\n    freely distributed code in the fracdiff package in R. \n\nDisclaimer\n\n    This program is provided without warranty of any kind. The author is not responsible for any cost derived by the usage of this program.\n\n\nReferences\n\n    Igor Viveiros Melo Souza, Valderio Anselmo Reisen, Glaura da Conceição Franco \u0026 Pascal Bondon (2018) The Estimation and Testing of the Cointegration Order Based on the Frequency\n    Domain, Journal of Business \u0026 Economic Statistics, 36:4, 695-704, DOI: 10.1080/07350015.2016.1251442\n\n    Leschinski, C., Voges, M. \u0026 Sibbertsen, P. (2020) A comparison of semiparametric tests for fractional cointegration. Stat Papers. https://doi.org/10.1007/s00362-020-01169-1\n\n\nAuthor\n\n    Alan Leal, University of São Paulo, Brazil\n    prof@alanleal-econ.com\n","project_url":"https://awesome.ecosyste.ms/api/v1/projects/github.com%2Falanleal-econ%2Fncointtest_matlab","html_url":"https://awesome.ecosyste.ms/projects/github.com%2Falanleal-econ%2Fncointtest_matlab","lists_url":"https://awesome.ecosyste.ms/api/v1/projects/github.com%2Falanleal-econ%2Fncointtest_matlab/lists"}