Cuestas_Garratt_unit_root: Cuestas and Garratt(2011) nonlinear unit root test function

In NonlinearTSA: Nonlinear Time Series Analysis

Description

This function allows you to make Cuestas and Garratt(2011) nonlinear unit root test

Usage

Cuestas_Garratt_unit_root(x, max_lags, lsm)

Arguments

x	series name,
max_lags	maximum lag
lsm	lag selection methods if 1 AIC, if 2 BIC, if 3 t-stat significance

Value

Model Estimated model

Selected lag the lag order

Test Statistic the value of the test statistic

CV Critical Values

References

Cuestas, J. C., & Garratt, D. (2011). Is real GDP per capita a stationary process? Smooth transitions, nonlinear trends and unit root testing. Empirical Economics, 41(3), 555-563.

Burak Guris, R Uygulamalı Dogrusal Olmayan Zaman Serileri Analizi, DER Yayinevi, 2020.

Examples

x <- rnorm(1000)
Cuestas_Garratt_unit_root(x,max_lags=6,lsm=3)

y <- cumsum(rnorm(1000))
Cuestas_Garratt_unit_root(y,max_lags=12,lsm=2)

data(IBM)
Cuestas_Garratt_unit_root(IBM,max_lags=3,lsm=1)

NonlinearTSA documentation built on Jan. 23, 2021, 5:05 p.m.