Description Usage Arguments Value References Examples
View source: R/Harvey_Mills_2002_unit_root.R
This function allows you to make Harvey and Mills(2002) nonlinear unit root test
1 | Harvey_Mills_2002_unit_root(x, model, max_lags, lsm)
|
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 |
"Model" Estimated model
"Selected Lag" the lag order
"Test Statistic" the value of the test statistic
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.
1 2 3 4 5 6 7 8 | 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)
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