Cuestas_Ordonez_2014_unit_root: Cuestas and Ordonez(2014) nonlinear unit root test function

Description Usage Arguments Value References Examples

View source: R/Cuestas_Ordonez_2014_unit_root.R

Description

This function allows you to make Cuestas and Ordonez(2014) nonlinear unit root test

Usage

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Arguments

x

series name,

max_lags

maximum lag selected lag is determined by AIC

Value

"model" Estimated model

"Selected lag" the lag order

"Test Statistic" the value of the test statistic

References

Cuestas, J. C., & Ordóñez, J. (2014). Smooth transitions, asymmetric adjustment and unit roots. Applied Economics Letters, 21(14), 969-972.

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

Examples

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x <- rnorm(1000)
Cuestas_Ordonez_2014_unit_root(x, max_lags = 6)

y <- cumsum(rnorm(1000))
Cuestas_Ordonez_2014_unit_root(y, max_lags = 8)

data(IBM)
Cuestas_Ordonez_2014_unit_root(IBM, max_lags = 20)

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