Harvey_Mills_2002_unit_root: Harvey and Mills(2002) nonlinear unit root test function

In NonlinearTSA: Nonlinear Time Series Analysis

Description

This function allows you to make Harvey and Mills(2002) nonlinear unit root test

Usage

Harvey_Mills_2002_unit_root(x, model, max_lags, lsm)

Arguments

x	series name,
model	if model with intercept 1, if model with trend 2 if model with trend*function 3,
max_lags	maximum lag
lsm	lag selection methods if 1 AIC, if 2 BIC

Value

"Model" Estimated model

"Selected Lag" the lag order

"Test Statistic" the value of the test statistic

References

Harvey, D. I., & Mills, T. C. (2002). Unit roots and double smooth transitions. Journal of Applied Statistics, 29(5), 675-683.

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

Examples

x <- rnorm(1000)
Harvey_Mills_2002_unit_root(x, model = 1, max_lags = 6, lsm = 2)

y <- cumsum(rnorm(1000))
Harvey_Mills_2002_unit_root(y, 3, 9, 1)

data(IBM)
Harvey_Mills_2002_unit_root(x = IBM, model = 2, max_lags = 12, lsm = 1)

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