LNV_1998_unit_root: Leybourne Newbold and Vougas (1998) nonlinear unit root test...

In NonlinearTSA: Nonlinear Time Series Analysis

Description

This function allows you to make Leybourne, Newbold and Vougas (1998) nonlinear unit root test

Usage

LNV_1998_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

Leybourne, S., Newbold, P., & Vougas, D. (1998). Unit roots and smooth transitions. Journal of time series analysis, 19(1), 83-97.

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

Examples

x <- rnorm(1000)
LNV_1998_unit_root(x, model = 1, max_lags = 6, lsm = 2)


y <- cumsum(rnorm(1000))
LNV_1998_unit_root(y, 3,  3, lsm = 1)


data(IBM)
LNV_1998_unit_root(x = IBM, model=2,max_lags = 10, lsm = 1)

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