Sollis2009_Unit_Root {NonlinearTSA}

Sollis(2009) nonlinear unit root test function

Description

This function allows you to make Sollis(2009) nonlinear unit root test

Usage

Sollis2009_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

Sollis, R. (2009). A simple unit root test against asymmetric STAR nonlinearity with an application to real exchange rates in Nordic countries. Economic modelling, 26(1), 118-125.

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

Examples

x <- rnorm(1000)
Sollis2009_Unit_Root(x, case = 1, lags = 6, lsm = 3)


y <- cumsum(rnorm(1000))
Sollis2009_Unit_Root(y, 3, 8, 1)


data(IBM)
Sollis2009_Unit_Root(IBM,case = 2,lags = 12,lsm = 2)