Kilic_2011_unit_root {NonlinearTSA}

Kilic(2011) nonlinear unit root test function

Description

This function allows you to make Kilic(2011) nonlinear unit root test

Usage

Kilic_2011_unit_root(x, case, max_lags)

Arguments

x

series name,

case

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

max_lags

maximum lag apropriate lag length is selected by Akaike Information Criteria

Value

"Model" Estimated model

"Selected Lag" the lag order

"Test statistic" the value of the test statistic

References

Kılıç, R. (2011). Testing for a unit root in a stationary ESTAR process. Econometric Reviews, 30(3), 274-302.

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

Examples

x <- rnorm(100)
Kilic_2011_unit_root(x,1,3)

data(IBM)
Kilic_2011_unit_root(IBM, case = 3, max_lags = 12)