supLMQur {tseriesTARMA}

Tabulated Critical Values for the Unit Root IMA vs TARMA test

Description

The data provides asymptotic null critical values for the unit root supLM test described in (Chan et al. 2024). They are used with the following tests:

• TARMAur.test

• TARMAur.test.B

Provided pb = 1- pa.

Usage

supLMQur

Format

supLMQur

A 4-dimensional array that contains 4 critical values (at level 10%, 5%, 1%, 0.1%) for each combination of

pa

Lower bound for the threshold range. From 0.01 to 0.4

th

MA(1) parameter.

n

Sample size.

Source

Chan K, Giannerini S, Goracci G, Tong H (2024). “Testing for threshold regulation in presence of measurement error.” Statistica Sinica, 34(3). https://doi.org/10.5705/ss.202022.0125.