check_inputs: Auxiliary Function (not accessible to users) to check if all...

Description Usage Arguments See Also

View source: R/auxiliary.R

Description

Auxiliary Function (not accessible to users) to check if all arguments put in by the user are correct, and to perform some preliminary calculations.

Usage

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check_inputs(data, boot_sqt_test, boot_ur_test, level, bootstrap, B,
  block_length, ar_AWB, union, min_lag, max_lag, criterion, deterministics,
  detrend, steps, do_parallel, cores, data_name)

Arguments

data

A T-dimensional vector or a (T x N)-matrix of N time series with T observations to be tested for unit roots. Data may also be in a time series format (e.g. ts, zoo or xts), or a data frame, as long as each column represents a single time series.

boot_sqt_test

Logical indicator whether or not to perform the Bootstrap Quantile Test (TRUE) or not (FALSE).

boot_ur_test

Logical indicator whether or not to perform the individual ADF Tests (TRUE) or not (FALSE).

level

Desired significance level of the unit root test.

bootstrap

String for bootstrap method to be used. Options are

"MBB"

Moving blocks bootstrap;

"BWB"

Block wild bootstrap;

"DWB"

Dependent wild bootstrap;

"AWB"

Autoregressive wild bootstrap;

"SB"

Sieve bootstrap;

"SWB"

Sieve wild bootstrap.

B

Number of bootstrap replications. Default is 1999.

block_length

Desired 'block length' in the bootstrap. For the MBB, BWB and DWB bootstrap, this is a genuine block length. For the AWB bootstrap, the block length is transformed into an autoregressive parameter via the formula 0.01^(1/block_length); this can be overwritten by setting ar_AWB directly. If NULL, sets the block length as a function of the time series length T, via the rule block_length = 1.75 T^(1/3).

ar_AWB

Autoregressive parameter used in the AWB bootstrap method (bootstrap = "AWB"). Can be used to set the parameter directly rather than via the default link to the block length.

union

Logical indicator whether or not to use bootstrap union tests (TRUE) or not (FALSE).

min_lag

Minimum lag length in the augmented Dickey-Fuller regression.

max_lag

Maximum lag length in the augmented Dickey-Fuller regression.

criterion

String for information criterion used to select the lag length in the augmented Dickey-Fuller regression. Options are: "AIC", "BIC", "MAIC", "MBIC.

deterministics

Numeric vector indicating the deterministic specification. Only relevant if union = FALSE. Options are (combinations of): 0 - no deterministics; 1 - intercept only; 2 - intercept and trend. If union = FALSE and deterministics = NULL, an intercept is added.

detrend

String vector indicating the type of detrending to be performed. Only relevant if union = FALSE. Options are: "OLS" and/or "QD" (typically also called GLS). If NULL, set to "OLS".

steps

Numeric vector of quantiles to be tested. Default is to test each unit sequentially.

do_parallel

Logical indicator whether bootstrap loop should be executed in parallel. Default is TRUE.

cores

The number of cores to be used in the parallel loops. Default is to use all but one.

data_name

Optional name for the data, to be used in the output. The default uses the name of the 'data' argument.

h_rs

Bandwidth used in rescaled information criteria.

See Also

boot_ur, boot_sqt, boot_fdr


bootUR documentation built on Nov. 25, 2021, 5:07 p.m.