Description Usage Arguments Value References Examples
View source: R/Kilic_2011_unit_root.R
This function allows you to make Kilic(2011) nonlinear unit root test
1 | Kilic_2011_unit_root(x, case, max_lags)
|
x |
series name, |
case |
if raw data 1 if demeaned data 2 if detrended data 3, |
max_lags |
maximum lag apropriate lag length is selected by Akaike Information Criteria |
"Model" Estimated model
"Selected Lag" the lag order
"Test statistic" the value of the test statistic
Kılıç, R. (2011). Testing for a unit root in a stationary ESTAR process. Econometric Reviews, 30(3), 274-302.
Burak Guris, R Uygulamalı Dogrusal Olmayan Zaman Serileri Analizi, DER Yayinevi, 2020.
1 2 3 4 5 | x <- rnorm(100)
Kilic_2011_unit_root(x,1,3)
data(IBM)
Kilic_2011_unit_root(IBM, case = 3, max_lags = 12)
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