UnitRootTest: Unit Root Test

In FitAR: Subset AR Model Fitting

Description

Unit root test. Test H0: rho=1 vs. H1: rho<1 in the model model with intercept z[t] = const + rho*z[t-1] + a[t].

Usage

UnitRootTest(z, method = c("MLE", "ExactMLE", "LS", "All"), statistic = c("Z", "T"), NumBoot = 1000, PValueMethod = c("DH", "ET"))

Arguments

z	time series
method	estimation methods
statistic	normalized rho or t-statistic
NumBoot	number of bootstrap iterations
PValueMethod	p-value can be estimated either as (k+1)/(N+1) as recommended by Davison and Hinkley (p. 148) or as k/N as in Efron and Tibsharini (p. 221, Algorithm 16.1 ).

Details

Bootstrap unit root tests

Value

one-sided P-value

Author(s)

A.I. McLeod

References

Davison, A.C. and Hinkley, D.V. (1997). Bootstrap Methods and their Application. Cambridge.

Efron, B. and Tibshirani, R. (1993). An Introduction to the Bootstrap. Chapman/Hall.

Yu, H., Zhang, Y. and McLeod, A.I. (2009). Unit Root Bootstrap Tests with Exact Maximum Likelihood.

See Also

PP.test

Examples

## Not run: #takes about 10 seconds
z<-cumsum(rnorm(100))
UnitRootTest(z)

## End(Not run)

Example output

Loading required package: lattice
Loading required package: leaps
Loading required package: ltsa
Loading required package: bestglm
[1] 0.5534466

FitAR documentation built on May 2, 2019, 3:22 a.m.