kappa_test {micss}

CUMSUMQ test to test for changes in the unconditional variance

Description

Computes the CUMSUMQ test to test for changes in the unconditional variance and reports the p-value adapted to the tail index and sample size

Usage

kappa_test(e,sig.lev=0.05,alpha=NULL,kmax=NULL)

Arguments

e

A numeric vector. Stationary variable on which the constancy of unconditional variance is tested.

sig.lev

Significance level. The default value is 0.05

alpha

Tail index. Must be a number between 2 and 4. The default value is 4.

kmax

Maximum lag to be used for the estimation of the long-run fourth order moment. If not reported, an automatic procedure computes it depending on the sample size.

Details

It is only computed if the sample size is greater than 25 observations.

Value

kappa

CUMSUMQ test.

tb

Possible time of the break (with maximum value of the statistic).

cv

critical value at the specified significance level.

p.val

p-value.

Author(s)

J.L. Carrion-i-Silvestre and A. Sanso

References

J.L. Carrion-i-Silvestre & A. Sansó (2023): Generalized Extreme Value Approximation to the CUMSUMQ Test for Constant Unconditional Variance in Heavy-Tailed Time Series.

See Also

micss

Examples

data(logReturnsRandDollar)
e <- whitening(data$rand.dollar)$e # whitening
kappa_test(e)