Sollis_2004_unit_root: Sollis(2004) nonlinear unit root test function

In NonlinearTSA: Nonlinear Time Series Analysis

Description

This function allows you to make Sollis(2004) nonlinear unit root test

Usage

Sollis_2004_unit_root(x, model, max_lags)

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(optimal lag selected by AIC)

Value

"Model" Estimated model

"Selected lag" the lag order

"p1=p2=0 Statistic" the value of the test statistic

References

Sollis, R. (2004). Asymmetric adjustment and smooth transitions: a combination of some unit root tests. Journal of time series analysis, 25(3), 409-417.

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

Examples

set.seed(123)
x <- rnorm(1000)
Sollis_2004_unit_root(x, model = 1, max_lags = 6)


set.seed(123)
y <- cumsum(rnorm(1000))
Sollis_2004_unit_root(y, 2, 12)


data(IBM)
Sollis_2004_unit_root(x = IBM, model = 3, max_lags = 3)

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