Description Usage Arguments Details Value Author(s) References See Also Examples

This function performs the DF-type test against a change in persistence as suggested by Leybourne, Kim, Smith, and Newbold (2003). Under the null hypothesis the time series is I(1) throughout and under the alternative a change from either I(1) to I(0) or I(0) to I(1) has occured.

1 2 |

`x` |
the univariate numeric vector to be investigated. Missing values are not allowed. |

`trend` |
whether the time series exhibits a trend, |

`tau` |
the function tests in the interval |

`lmax` |
Maximum number of lagged differences to be included in the test regression. Default is |

`simu` |
whether critical values should be simulated or interpolated, |

`M` |
number of replications in case critical values are simulated. Default is |

The critical values of the tests vary with the sample size. If `simu=0`

, the critical values provided
are based on linear interpolation of the critical values simulated by Leybourne, Kim, Smith, and Newbold (2003). These are, however, only valid for `tau=0.2`

and `lmax=0`

.
In case that non-default values are chosen for `tau`

or `lmax`

, it is recommended to set `simu=1`

which means that critical values are simulated based on the given data using M replications.
Caution, for a time series of length `T=100`

and `M=10,000`

replications this takes approximately thirty minutes with increasing duration for higher T or M.
It should be noted, however, that M smaller than 10,000 make the results unreliable.

Returns a matrix that consists of test statistic and critical values (corresponding to `alpha=0.1,0.05`

) for testing against a change from I(1) to I(0), I(0) to I(1), and against a change in an unknown direction.

Janis Becker

Leybourne, S., Kim, T., Smith, V., and Newbold, P. (2003): Tests for a change in persistence against the null of difference-stationarity. Econometrics Journal, 6, pp. 291-311.

`cusum_test`

, `LBI_test`

, `MR_test`

, `ratio_test`

.

1 2 3 4 5 6 7 |

Embedding an R snippet on your website

Add the following code to your website.

For more information on customizing the embed code, read Embedding Snippets.