Enders_Siklos_2001: Enders and Siklos(2001) Nonlinear Cointegration Test Function

In NonlinearTSA: Nonlinear Time Series Analysis

Description

This function allows you to make Enders and Siklos(2001) nonlinear cointegration test

Usage

Enders_Siklos_2001(y, x, case = 2, max_lags)

Arguments

y	series name
x	series name,
case	if no lag 1, if one lag 2, if four lag 3, default case=2
max_lags	maximum lag (Apropriate lag is selected by Akaike Information Criteria)

Value

"Model" Estimated model

"Selected Lag" the lag order

"p1=p2=0 Statistic" the value of the test statistic

"p1=p2 Statistic" the value of the test statistic

"p value" the probability of test statistic

References

Enders, W., & Siklos, P. L. (2001). Cointegration and threshold adjustment. Journal of Business & Economic Statistics, 19(2), 166-176.

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

Examples

x <- cumsum(rnorm(1000))
y <- cumsum(rnorm(1000))
Enders_Siklos_2001(x, y, max_lags = 6)

data(MarketPrices)
Enders_Siklos_2001(MarketPrices[,1],MarketPrices[,2], max_lags = 12)

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