Vougas_2006_unit_root: Vougas(2006) nonlinear unit root test function

In NonlinearTSA: Nonlinear Time Series Analysis

Description

This function allows you to make Vougas(2006) nonlinear unit root test

Usage

Vougas_2006_unit_root(x, model, max_lags)

Arguments

x	series name,
model	if model A 1, if model B 2, if model C 3, model D 4, model E 5
max_lags	maximum lag(optimal lag selected by AIC)

Value

"Model" Estimated model

"Selected lag" the lag order

"Test Statistic" the value of the test statistic

References

Vougas, D. V. (2006). On unit root testing with smooth transitions. Computational statistics & data analysis, 51(2), 797-800.

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

Examples

set.seed(12345)
x <- rnorm(1000)
Vougas_2006_unit_root(x, model = 1, max_lags = 6)

set.seed(12345)
y <- cumsum(rnorm(1000))
Vougas_2006_unit_root(x = y ,model = 2, max_lags = 9)


data(IBM)
Vougas_2006_unit_root(x = IBM, model = 3, max_lags = 3)

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