diagnostics: Diagnostics on hypothesis testing

In exuber: Econometric Analysis of Explosive Time Series

Diagnostics on hypothesis testing

Description

Provides information on whether the null hypothesis of a unit root is rejected against the alternative of explosive behaviour for each series in a dataset.

Usage

diagnostics(object, cv = NULL, ...)

## S3 method for class 'radf_obj'
diagnostics(object, cv = NULL, option = c("gsadf", "sadf"), ...)

Arguments

object	An object of class obj.
cv	An object of class cv.
...	Further arguments passed to methods.
option	Whether to apply the "gsadf" or "sadf" methodology (default = "gsadf").

Details

Diagnostics also stores a vector whose elements take the value of 1 when there is a period of explosive behaviour and 0 otherwise.

Value

Returns a list with the series that reject (positive) and the series that do not reject (negative) the null hypothesis, and at what significance level.

Examples

rsim_data <- radf(sim_data)
diagnostics(rsim_data)

diagnostics(rsim_data, option = "sadf")

exuber documentation built on March 31, 2023, 9:51 p.m.