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# This library is free software; you can redistribute it and/or
# modify it under the terms of the GNU Library General Public
# License as published by the Free Software Foundation; either
# version 2 of the License, or (at your option) any later version.
#
# This library is distributed in the hope that it will be useful,
# but WITHOUT ANY WARRANTY; without even the implied warranty of
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
# GNU Library General Public License for more details.
#
# You should have received a copy of the GNU Library General
# Public License along with this library; if not, write to the
# Free Foundation, Inc., 59 Temple Place, Suite 330, Boston,
# MA 02111-1307 USA
# Copyrights (C)
# for this R-port:
# 1999 - 2007, Diethelm Wuertz, GPL
# Diethelm Wuertz <wuertz@itp.phys.ethz.ch>
# info@rmetrics.org
# www.rmetrics.org
# for the code accessed (or partly included) from other R-ports:
# see R's copyright and license files
# for the code accessed (or partly included) from contributed R-ports
# and other sources
# see Rmetrics's copyright file
################################################################################
# FUNCTION: URCA [PFAGFF] UNIT ROOT TESTS:
# urdfTest Augmented Dickey-Fuller test for unit roots
# urersTest Elliott-Rothenberg-Stock test for unit roots
# urkpssTest KPSS unit root test for stationarity
# urppTest Phillips-Perron test for unit roots
# urspTest Schmidt-Phillips test for unit roots
# urzaTest Zivot-Andrews test for unit roots
################################################################################
require(urca)
pvalue =
function(object)
{ # A function implemented by Diethelm Wuertz
# FUNCTION:
# Return Value:
UseMethod("pvalue")
}
statistic =
function(object)
{ # A function implemented by Diethelm Wuertz
# FUNCTION:
# Return Value:
UseMethod("statistic")
}
pvalue.fHTEST =
function(object)
{ # A function implemented by Diethelm Wuertz
# FUNCTION:
# p Value:
pValue = object@test$p.value
pNames = names(pValue)
for (i in 1:length(pValue)) {
if (is.null(pNames[i]) || pNames[i] == "") pNames[i] = "p.value"
}
names(pValue)<-pNames
# Return Value:
pValue
}
statistic.fHTEST =
function(object)
{ # A function implemented by Diethelm Wuertz
# FUNCTION:
# Statistic:
statistic = object@test$statistic
# Return Value:
statistic
}
################################################################################
test.urdfTest =
function()
{
# A time series which contains no unit-root:
RNGkind(kind = "Marsaglia-Multicarry", normal.kind = "Inversion")
set.seed(4711, kind = "Marsaglia-Multicarry")
x = rnorm(100)
# A time series which contains a unit-root:
y = cumsum(c(0, x))
# DF Test:
urdfTest(x, lags = 1, type = c("nc", "c", "ct"),
doplot = TRUE)
# Return Value:
return()
}
# ------------------------------------------------------------------------------
test.urersTest =
function()
{
# A time series which contains no unit-root:
RNGkind(kind = "Marsaglia-Multicarry", normal.kind = "Inversion")
set.seed(4711, kind = "Marsaglia-Multicarry")
x = rnorm(100)
# A time series which contains a unit-root:
y = cumsum(c(0, x))
# ERS Test:
urersTest(x, type = "DF-GLS", model = c("constant", "trend"),
lag.max = 4, doplot = TRUE)
urersTest(x, type = "P-test", model = c("constant", "trend"),
lag.max = 4) # No Plot
# Return Value:
return()
}
# ------------------------------------------------------------------------------
test.urkpssTest =
function()
{
# A time series which contains no unit-root:
RNGkind(kind = "Marsaglia-Multicarry", normal.kind = "Inversion")
set.seed(4711, kind = "Marsaglia-Multicarry")
x = rnorm(100)
# A time series which contains a unit-root:
y = cumsum(c(0, x))
# KPSS Test:
urkpssTest(x, type = "mu", lags = c("short", "long", "nil"),
use.lag = NULL, doplot = TRUE)
urkpssTest(x, type = "tau", lags = c("short", "long", "nil"),
use.lag = NULL) # No Plot
# Return Value:
return()
}
# ------------------------------------------------------------------------------
test.urppTest =
function()
{
# A time series which contains no unit-root:
RNGkind(kind = "Marsaglia-Multicarry", normal.kind = "Inversion")
set.seed(4711, kind = "Marsaglia-Multicarry")
x = rnorm(100)
# A time series which contains a unit-root:
y = cumsum(c(0, x))
# PP Test:
urppTest(x, type = "Z-alpha", model = c("constant", "trend"),
lags = c("short", "long"), use.lag = NULL, doplot = TRUE)
urppTest(x, type = "Z-tau", model = c("constant", "trend"),
lags = c("short", "long"), use.lag = NULL, doplot = TRUE)
# Return Value:
return()
}
# ------------------------------------------------------------------------------
test.urspTest =
function()
{
# A time series which contains no unit-root:
RNGkind(kind = "Marsaglia-Multicarry", normal.kind = "Inversion")
set.seed(4711, kind = "Marsaglia-Multicarry")
x = rnorm(100)
# A time series which contains a unit-root:
y = cumsum(c(0, x))
# SP Test:
urspTest(x, type = "tau", pol.deg = c(1, 2, 3, 4),
signif = c(0.01, 0.05, 0.1), doplot = TRUE)
urspTest(x, type = "rho", pol.deg = c(1, 2, 3, 4),
signif = c(0.01, 0.05, 0.1), doplot = TRUE)
# Return Value:
return()
}
# ------------------------------------------------------------------------------
test.urzaTest =
function()
{
# A time series which contains no unit-root:
RNGkind(kind = "Marsaglia-Multicarry", normal.kind = "Inversion")
set.seed(4711, kind = "Marsaglia-Multicarry")
x = rnorm(100)
# A time series which contains a unit-root:
y = cumsum(c(0, x))
# ZA Test:
urzaTest(x, model = "intercept", lag = 2,
doplot = TRUE)
urzaTest(x, model = "trend", lag = 2,
doplot = TRUE)
urzaTest(x, model = "both", lag = 2,
doplot = TRUE)
# Return Value:
return()
}
################################################################################
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