do_tests_and_bootstrap_old-deprecated: Auxiliary Function (not accessible to users) to create all...

Description Usage Arguments See Also

Description

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

Usage

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do_tests_and_bootstrap_old(y, BSQT_test, iADF_test, level, boot, B, l, ar_AWB,
union, p_min, p_max, ic, dc, detr, ic_scale, q, h_rs, show_progress, do_parallel, nc)

Arguments

y

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.

BSQT_test

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

iADF_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.

boot

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 boostrap.

B

Number of bootstrap replications. Default is 1999.

l

Desired 'block length' in the bootstrap. For the MBB, BWB and DWB boostrap, this is a genuine block length. For the AWB boostrap, the block length is transformed into an autoregressive parameter via the formula 0.01^(1/l); 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 l = 1.75 T^(1/3).

ar_AWB

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

union

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

p_min

Minimum lag length in the augmented Dickey-Fuller regression.

p_max

Maximum lag length in the augmented Dickey-Fuller regression.

ic

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

dc

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 NULL, an intercpet is added.

detr

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".

ic_scale

Logical indicator whether or not to use the rescaled information criteria (TRUE) or not (FALSE).

q

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. Parallel computing is only available if OpenMP can be used, if not this option is ignored. Default is FALSE.

nc

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

See Also

iADFtest, BSQTtest, bFDRtest

bootUR-deprecated


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