Hu_Chen_Unit_Root: Hu and Chen(2016) nonlinear unit root test function

In NonlinearTSA: Nonlinear Time Series Analysis

Description

This function allows you to make Hu and Chen(2016) nonlinear unit root test

Usage

Hu_Chen_Unit_Root(x, case, lags, lsm)

Arguments

x	series name,
case	if raw data 1 if demeaned data 2 if detrended data 3,
lags	maximum lag
lsm	lag selection methods if 1 AIC, if 2 BIC, if 3 t-stat significance

Value

"Model" Estimated model

"Selected lag" the lag order

"Test Statistic" the value of the test statistic

References

Hu, J., & Chen, Z. (2016). A unit root test against globally stationary ESTAR models when local condition is non-stationary. Economics letters, 146, 89-94.

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

Examples

x <- rnorm(1000)
Hu_Chen_Unit_Root(x, case = 1, lags = 6, lsm = 3)

y <- cumsum(rnorm(1000))
Hu_Chen_Unit_Root(y, 1, 3, 2)

data(IBM)
Hu_Chen_Unit_Root(IBM, case = 2,lags = 12, lsm = 2)

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