adfp: Generalized Least Squares Modified Dickey-Fuller t test

In PANICr: PANIC Tests of Nonstationarity

Description

This function performs a modified Dickey-Fuller t test for a unit root in which the series has been modified by a generalized least squares regression.

Usage

adfp(y, penalty, kmax, kmin, p)

Arguments

y	A matrix of data
penalty	An integer value of either 0 or 1. 0 uses the MAIC, a penalty on k that accounts for the bias in the sum of the autoregressive coefficient. 1 uses the more general form MIC.
kmax	An integer of the maximum number of lags for the vector autoregressions. An upper bound of (12*(T/100)^.25)^8 is suggested in Schwert (1989)
kmin	An integer of the minimum number of lags for the vector autoregression. k = 0 is a reasonable point.
p	An integer with value of either 0 or -1. a value of -1 will modify the series with a generalized least squares regression.

Value

adf A numeric vector of t tests for the dfgls of each column. Will have to find rejection levels

kstar A numeric vector of the lags for each column's vector autoregression.

PANICr documentation built on May 2, 2019, 4:40 a.m.