Description Usage Arguments Value References Examples
View source: R/Vougas_2006_unit_root.R
This function allows you to make Vougas(2006) nonlinear unit root test
1 | Vougas_2006_unit_root(x, model, max_lags)
|
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) |
"Model" Estimated model
"Selected lag" the lag order
"Test Statistic" the value of the test statistic
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.
1 2 3 4 5 6 7 8 9 10 11 | 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)
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