Park_Shintani_2016_unit_root: Park and Shintani(2012) nonlinear unit root test function

In NonlinearTSA: Nonlinear Time Series Analysis

Description

This function allows you to make Park and Shintani(2012) nonlinear unit root test

Usage

Park_Shintani_2016_unit_root(x, max_lags)

Arguments

x	series name,
max_lags	maximum lag (Apropriate lag is selected by Akaike Information Criteria)

Value

"Model" Estimated model

"Selected Lag" the lag order

"Test statistic" the value of the test statistic

References

Park, J. Y., & Shintani, M. (2016). Testing for a unit root against transitional autoregressive models. International Economic Review, 57(2), 635-664.

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

Examples

x <- rnorm(50)
Park_Shintani_2016_unit_root(x, max_lags = 1)

data(IBM)
Park_Shintani_2016_unit_root(IBM, max_lags = 12)

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