Pascalau_2007_unit_root {NonlinearTSA} | R Documentation |
Pascalau(2007) nonlinear unit root test function
Description
This function allows you to make Pascalau(2007) nonlinear unit root test
Usage
Pascalau_2007_unit_root(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
"Test statistic" the value of the test statistic
References
Pascalau, R. (2007). Testing for a unit root in the asymmetric nonlinear smooth transition framework. Department of Economics, Finance and Legal Studies University of Alabama Unpublished manuscript.
Burak Guris, R Uygulamalı Dogrusal Olmayan Zaman Serileri Analizi, DER Yayinevi, 2020.
Examples
x <- rnorm(1000)
Pascalau_2007_unit_root(x, case = 1, max_lags = 6, lsm = 2)
y <- cumsum(rnorm(1000))
Pascalau_2007_unit_root(y, 2, 4, 1)
data(IBM)
Pascalau_2007_unit_root(x = IBM, case = 3, max_lags = 3, lsm = 1)
[Package NonlinearTSA version 0.5.0 Index]