getCriticalValues {highfrequency}

Get critical value for the drift burst hypothesis t-statistic

Description

Method for DBH objects to calculate the critical value for the presence of a burst of drift. The critical value is that of the test described in appendix B in Christensen Oomen Reno

Usage

getCriticalValues(x, alpha = 0.95)

Arguments

x

object of class DBH

alpha

numeric denoting the confidence level for the critical value. Possible values are c(0.9 0.95 0.99 0.995 0.999 0.9999)

Author(s)

Emil Sjoerup

References

Christensen, K., Oomen, R., and Reno, R. (2020) The drift burst hypothesis. Journal of Econometrics. Forthcoming.