do_tests_and_bootstrap: Auxiliary Function (not accessible to users) to create all...

In bootUR: Bootstrap Unit Root Tests

Auxiliary Function (not accessible to users) to create all bootstrap statistics used to perform the unit root tests.

Description

Auxiliary Function (not accessible to users) to create all bootstrap statistics used to perform the unit root tests.

Usage

do_tests_and_bootstrap(data, boot_sqt_test, boot_ur_test, level, bootstrap, B,
  block_length, ar_AWB, union, min_lag, max_lag, criterion, deterministics,
  detrend, criterion_scale, steps, h_rs, show_progress, 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"⁠.
criterion_scale	Logical indicator whether or not to use the rescaled information criteria (⁠TRUE⁠) or not (⁠FALSE⁠).
steps	Numeric vector of quantiles to be tested. Default is to test each unit sequentially.
h_rs	Bandwidth used in rescaled information criteria.
show_progress	Logical indicator whether a bootstrap progress update should be printed to the console. Default is FALSE.
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.

See Also

boot_ur, boot_sqt, boot_fdr

bootUR documentation built on May 29, 2024, 11:49 a.m.