Enders_Granger_1998 {NonlinearTSA}

Enders and Granger_1998 nonlinear unit root test function

Description

This function allows you to make Enders and Granger(1998) nonlinear unit root test for MTAR model

Usage

Enders_Granger_1998(x, case, max_lags, lsm)

Arguments

x

series name,

case

if raw data 1 if demeaned data 2 if detrended data 3,

max_lags

maximum lag

lsm

lag selection methods if 1 AIC, if 2 BIC

Value

"Model" Estimated model

"Selected lag" the lag order

"p1=p2=0 Statistic" the value of the test statistic

"p1=p2 statistic" the value of the test statistic

"prob." the probability of test statistic

References

Enders, W., & Granger, C. W. J. (1998). Unit-root tests and asymmetric adjustment with an example using the term structure of interest rates. Journal of Business & Economic Statistics, 16(3), 304-311.

Burak Guris, R Uygulamalı Dogrusal Olmayan Zaman Serileri Analizi, DER Yayinevi, 2020.

Examples

x <- rnorm(1000)
Enders_Granger_1998(x, case = 1, max_lags = 6, lsm = 1)

y <- cumsum(rnorm(1000))
Enders_Granger_1998(y, 2, 8, 2)

data(IBM)
Enders_Granger_1998(IBM,case = 2,max_lags = 12,lsm = 2 )