Nothing
UnitRootTest <- function(z, method=c("MLE", "ExactMLE", "LS", "All"), statistic=c("Z","T"), NumBoot=1000, PValueMethod=c("DH", "ET")) {
if (length(z)<10)
stop("Minimum length of series recommended is 10!")
#which method
mthd <- match.arg(method)
IsValidmethodQ <- mthd %in% c("MLE", "ExactMLE", "LS", "All")
if (!IsValidmethodQ)
stop("method = ", mthd, " not known.")
MeanMLEQ <- FALSE
if (mthd == "ExactMLE")
MeanMLEQ <- TRUE
if (mthd=="MLE" || MeanMLEQ)
MLEQ <- TRUE
else
MLEQ <- FALSE
if (mthd == "All")
ALLQ <- TRUE
else
ALLQ <- FALSE
#
stat <- match.arg(statistic)
IsValidstatisticQ <- stat %in% c("Z","T")
if (!IsValidstatisticQ)
stop("statistic = ", stat, " not known.")
if (stat=="Z")
UseZQ <- TRUE
else
UseZQ <- FALSE
#
#method for p-value computation
pvm <- match.arg(PValueMethod)
IsValidpvmQ <- pvm %in% c("DH", "ET")
if (!IsValidpvmQ)
stop("PValueMethod = ", pvm, " not known.")
if (pvm=="DH")
UseDHQ <- TRUE
else
UseDHQ <- FALSE
#
if (ALLQ){
#Observed value of test statistics
ansObs1 <- FitARz(z, p=1, MeanMLEQ=FALSE)
ansObs2 <- FitARz(z, p=1, MeanMLEQ=TRUE)
ansObs3 <- FitARp(z, p=1, MLEQ=FALSE)
ZObs1 <- getRho(ansObs1)
ZObs2 <- getRho(ansObs2)
ZObs3 <- getRho(ansObs3)
TObs1 <- getT(ansObs1)
TObs2 <- getT(ansObs2)
TObs3 <- getT(ansObs3)
XObs <- c(ZObs1, ZObs2, ZObs3, TObs1, TObs2, TObs3)
#Bootstrap iterations
K <-numeric(6)
for (i in 1:NumBoot){
zB <- cumsum(rnorm(length(z)))
ansB1 <- FitARz(zB, p=1, MeanMLEQ=FALSE)
ansB2 <- FitARz(zB, p=1, MeanMLEQ=TRUE)
ansB3 <- FitARp(zB, p=1, MLEQ=FALSE)
ZB1 <- getRho(ansB1)
ZB2 <- getRho(ansB2)
ZB3 <- getRho(ansB3)
TB1 <- getT(ansB1)
TB2 <- getT(ansB2)
TB3 <- getT(ansB3)
XB <- c(ZB1, ZB2, ZB3, TB1, TB2, TB3)
K <- K + as.numeric(XB<=XObs)
}
if (UseDHQ)
pvalue <- (K+1)/(NumBoot+1)
else
pvalue <- K/NumBoot
}
else {
#Observed value of test statistic
if (MLEQ)
ansObs <- FitARz(z, p=1, MeanMLEQ=MeanMLEQ)
else
ansObs <- FitARp(z, p=1, MLEQ=FALSE)
if (stat=="Z")
XObs <- getRho(ansObs)
else
XObs <- getT(ansObs)
#Bootstrap iterations
K <-0
for (i in 1:NumBoot){
zB <- cumsum(rnorm(length(z)))
if (MLEQ)
ansB <- FitARz(zB, p=1, MeanMLEQ=MeanMLEQ)
else
ansB <- FitARp(zB, p=1, MLEQ=FALSE)
if (UseZQ)
XB <- getRho(ansB)
else
XB <- getT(ansB)
if (XB <= XObs)
K <- K+1
}
if (UseDHQ)
pvalue <- (K+1)/(NumBoot+1)
else
pvalue <- K/NumBoot
}
pvalue
}
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