Description Usage Arguments Value References Examples
View source: R/Kruse_Unit_Root.R
This function allows you to make Kruse(2011) nonlinear unit root test
1 | Kruse_Unit_Root(x, case, lags, lsm)
|
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 |
"Model" Estimated model
"Selected lag" the lag order
"Test Statistic" the value of the test statistic
Kruse, R. (2011). A new unit root test against ESTAR based on a class of modified statistics. Statistical Papers, 52(1), 71-85.
Burak Guris, R Uygulamalı Dogrusal Olmayan Zaman Serileri Analizi, DER Yayinevi, 2020.
1 2 3 4 5 6 7 8 9 10 | x <- rnorm(1000)
Kruse_Unit_Root(x, case = 1, lags = 6, lsm =1)
y <- cumsum(rnorm(1000))
Kruse_Unit_Root(y, 3, 3, 3)
data(IBM)
Kruse_Unit_Root(IBM,case = 2,lags = 12,lsm = 2)
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