Description Usage Arguments Value References Examples
View source: R/Sollis2009_Unit_Root.R
This function allows you to make Sollis(2009) nonlinear unit root test
1 | Sollis2009_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
Sollis, R. (2009). A simple unit root test against asymmetric STAR nonlinearity with an application to real exchange rates in Nordic countries. Economic modelling, 26(1), 118-125.
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)
Sollis2009_Unit_Root(x, case = 1, lags = 6, lsm = 3)
y <- cumsum(rnorm(1000))
Sollis2009_Unit_Root(y, 3, 8, 1)
data(IBM)
Sollis2009_Unit_Root(IBM,case = 2,lags = 12,lsm = 2)
|
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.