ur.test {HDTSA} | R Documentation |
Testing for unit roots based on sample autocovariances
Description
The test proposed in Chang, Cheng and Yao (2021) for the following hypothesis testing problems:
H_0:Y_t \sim I(0)\ \ \mathrm{versus}\ \ H_1:Y_t \sim
I(d)\ \mathrm{for\ some\ integer\ }d \geq 2.
Usage
ur.test(Y, lagk.vec = lagk.vec, con_vec = con_vec, alpha = alpha)
Arguments
Y |
|
lagk.vec |
Time lag |
con_vec |
Constant |
alpha |
The prescribed significance level. Default is 0.05. |
Value
A dataframe containing the following components:
result |
|
References
Chang, J., Cheng, G. & Yao, Q. (2021). Testing for unit roots based on sample autocovariances. Available at https://arxiv.org/abs/2006.07551
Examples
N=100
Y=arima.sim(list(ar=c(0.9)), n = 2*N, sd=sqrt(1))
con_vec=c(0.45,0.55,0.65)
lagk.vec=c(0,1,2)
ur.test(Y,lagk.vec=lagk.vec, con_vec=con_vec,alpha=0.05)
ur.test(Y,alpha=0.05)