kpss_1br: KPSS Unit Root Test with One Structural Break

In COINT: Unit Root Tests with Structural Breaks and Fully-Modified Estimators

KPSS Unit Root Test with One Structural Break

Description

Implement the Kurozumi (2002) sequential kpss test with one structural break.

Usage

kpss_1br(y,
        lags = c("short", "long", "nil"),
        model=c("intercept","both"),
        use=c("nw","ba"),
        trim=0.1)

Arguments

y	Vector to be tested for a unit root.
lags	Lags used for correction of error term.
model	Modelling where the unknown structural change occurs. intercept= structural change occurs at the intercept. both= structural changes occur at both the intercept and the trend.
use	User specified lags for correction of error term. The default is the lag determined by Newey-West bandwidth "nw" with Bartlett "ba" kernel. Users can input your own number. This version suports two bandwidth functions: "nw" for Newey-West, "and" for Andrews. Three kernel functions are supported by both bandwidth functions: "ba"=Bartlett, "pa"=Parzen, "qs"=Qudratic Spectral
trim	The trimming percentage. Default is 10

Details

lags="short" sets the number of lags to \sqrt[4]{4 \times (n/100)}, whereas lags="long" sets the number of lags to \sqrt[4]{12 \times (n/100)}. If lags="nil" is choosen, then no error correction is made. Furthermore, lags and use are mutually exclusive. As long as use is not set to be NULL, its argumenta will be chosen fisrt. One can specify a different number of maximum lags by setting use accordingly.

Value

teststat	The kpss test statistic with one structural break.
cval	Critical values.
bpoint	The breaking point that corresponds to the teststat.
tstats	The sequential KPSS test statistic.

Author(s)

Ho Tsung-wu <[e-mail]>, College of Management, National Taiwan Normal University.

References

Kwiatkowski, D., Phillips, P.C.B., Schmidt, P. and Shin, Y. (1992) Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root? Journal of Econometrics, 54, 159-178.
Kurozumi, E. (2002) Testing for stationarity with a break. Journal of Econometrics,108(1), 105-127.
Phillips, P.C.B. and Sainan Jin (2002) The KPSS test with seasonal dummies. Economics Letters, 77, 239-243.

Examples

data(macro)
y=macro[,"INF"]
KPSS1=kpss_1br(y,model=c("intercept","both")[2],use=c("nw","ba"))
KPSS1$teststat
KPSS1$cval
y[KPSS1$bpoint,]
#Plot
plot.ts(KPSS1$tstats,ylim=range(c(KPSS1$tstats,KPSS1$cval)));grid()
abline(h=KPSS1$cval[1],col="red")
abline(h=KPSS1$cval[2],col="blue")
abline(h=KPSS1$cval[3],col="green")
abline(v=KPSS1$bpoint,col="red",lty=2)

COINT documentation built on Sept. 9, 2025, 5:51 p.m.