Kruse_Unit_Root {NonlinearTSA}

Kruse(2011) nonlinear unit root test function

Description

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

Usage

Kruse_Unit_Root(x, case, lags, lsm)

Arguments

x

series name,

case

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

lags

maximum lag

lsm

lag selection methods if 1 AIC, if 2 BIC, if 3 t-stat significance

Value

"Model" Estimated model

"Selected lag" the lag order

"Test Statistic" the value of the test statistic

References

Kruse, R. (2011). A new unit root test against ESTAR based on a class of modified statistics. Statistical Papers, 52(1), 71-85.

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

Examples

x <- rnorm(1000)
Kruse_Unit_Root(x, case = 1, lags = 6, lsm =1)


y <- cumsum(rnorm(1000))
Kruse_Unit_Root(y, 3, 3, 3)


data(IBM)
Kruse_Unit_Root(IBM,case = 2,lags = 12,lsm = 2)