Description Usage Arguments Value References Examples
View source: R/Cuestas_Ordonez_2014_unit_root.R
This function allows you to make Cuestas and Ordonez(2014) nonlinear unit root test
1 | Cuestas_Ordonez_2014_unit_root(x, max_lags)
|
x |
series name, |
max_lags |
maximum lag selected lag is determined by AIC |
"model" Estimated model
"Selected lag" the lag order
"Test Statistic" the value of the test statistic
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.
1 2 3 4 5 6 7 8 | 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)
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