BSQTtest {bootUR}  R Documentation 
Performs the Bootstrap Sequential Quantile Test (BSQT) proposed by Smeekes (2015).
BSQTtest(y, q = 0:NCOL(y), level = 0.05, boot = "AWB", B = 1999, l = NULL, ar_AWB = NULL, union = TRUE, p_min = 0, p_max = NULL, ic = "MAIC", dc = NULL, detr = NULL, ic_scale = TRUE, verbose = FALSE, show_progress = FALSE, do_parallel = FALSE, nc = NULL)
y 
A Tdimensional vector or a (T x N)matrix of N time series with T observations to be tested for unit roots. Data may also be in a time series format (e.g. 
q 
Numeric vector of quantiles or units to be tested. Default is to test each unit sequentially. 
level 
Desired significance level of the unit root test. Default is 0.05. 
boot 
String for bootstrap method to be used. Options are

B 
Number of bootstrap replications. Default is 1999. 
l 
Desired 'block length' in the bootstrap. For the MBB, BWB and DWB boostrap, this is a genuine block length. For the AWB boostrap, the block length is transformed into an autoregressive parameter via the formula 0.01^(1/l) as in Smeekes and Urbain (2014a); this can be overwritten by setting 
ar_AWB 
Autoregressive parameter used in the AWB bootstrap method ( 
union 
Logical indicator whether or not to use bootstrap union tests ( 
p_min 
Minimum lag length in the augmented DickeyFuller regression. Default is 0. 
p_max 
Maximum lag length in the augmented DickeyFuller regression. Default uses the sample sizebased rule 12(T/100)^{1/4}. 
ic 
String for information criterion used to select the lag length in the augmented DickeyFuller regression. Options are: 
dc 
Numeric vector indicating the deterministic specification. Only relevant if
If 
detr 
String vector indicating the type of detrending to be performed. Only relevant if 
ic_scale 
Logical indicator whether or not to use the rescaled information criteria of Cavaliere et al. (2015) ( 
verbose 
Logical indicator whether or not information on the outcome of the unit root test needs to be printed to the console. Default is 
show_progress 
Logical indicator whether a bootstrap progress update should be printed to the console. Default is FALSE. 
do_parallel 
Logical indicator whether bootstrap loop should be executed in parallel. Parallel computing is only available if OpenMP can be used, if not this option is ignored. Default is FALSE. 
nc 
The number of cores to be used in the parallel loops. Default is to use all but one. 
The parameter q
can either be set as an increasing sequence of integers smaller or equal to the number of series N
, or fractions of the total number of series (quantiles). For N
time series, setting q = 0:N
means each unit should be tested sequentially. In this case the method is equivalent to the StepM method of Romano and Wolf (2005), and therefore controls the familywise error rate. To split the series in K
equally sized groups, use q = 0:K / K
.
By convention and in accordance with notation in Smeekes (2015), the first entry of the vector should be equal to zero, while the second entry indicates the end of the first group, and so on. If the initial 0
or final value (1
or N
) are omitted, they are automatically added by the function.
See iADFtest
for details on the bootstrap algorithm and lag selection.
A list with the following components

Logical indicator whether the null hypothesis of a unit root is rejected ( 

Details on the unit root tests: outcome of the sequential steps, value of the test statistics and pvalues. 
For the union test (union = TRUE
), the output is arranged per time series. If union = FALSE
, the output is arranged per time series, type of deterministic component (dc
) and detrending method (detr
).
Error: Resamplingbased bootstraps MBB and SB cannot handle missing values.
If the time series in y
have different starting and end points (and thus some series contain NA
values at the beginning and/or end of the sample, the resamplingbased moving block bootstrap (MBB) and sieve bootstrap (SB) cannot be used, as they create holes (internal missings) in the bootstrap samples. Switch to another bootstrap method or truncate your sample to eliminate NA
values.
Error: Invalid input values for q: must be quantiles or positive integers.
Construction of q
does not satisfy the criteria listed under 'Details'.
Warning: SB and SWB bootstrap only recommended for iADFtest; see help for details.
Although the sieve bootstrap methods "SB"
and "SWB"
can be used, Smeekes and Urbain (2014b) show that these are not suited to capture general forms of dependence across units, and using them for joint or multiple testing is not valid. This warning thereofre serves to recommend the user to consider a different bootstrap method.
Warning: Deterministic specification in argument dc is ignored, as union test is applied.
The union test calculates the union of all four combinations of deterministic components (intercept or intercept and trend) and detrending methods (OLS or QD). Setting deterministic components manually therefore has no effect.
Warning: Detrending method in argument detr is ignored, as union test is applied.
The union test calculates the union of all four combinations of deterministic components (intercept or intercept and trend) and detrending methods (OLS or QD). Setting detrending methods manually therefore has no effect.
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# BSQTtest on GDP_BE and GDP_DE two_series_BSQTtest < BSQTtest(MacroTS[, 1:2], boot = "AWB", B = 399, verbose = TRUE)