mctest: Monte-Carlo unit root test

Description Usage Arguments Value Author(s) See Also Examples

Description

The Monte-Carlo unit root test using the exact MLE. This provides a check for the function mleur() as well as a more robust approach using bootstrap residuals.

Usage

1
mctest(y, type = c("p", "n"), NumRep = 1000, bootQ = FALSE)

Arguments

y

the time series to be tested

type

default "p" for pivotal statistic, otherwise the normalized statistic is used

NumRep

Number of iterations for Monte-Carlo

bootQ

if FALSE, use NID innovations, otherwise if TRUE a bootstrap sample of the residuals

Value

p-value

Author(s)

A.I. McLeod and Hao Yu

See Also

mleur

Examples

1
mctest(DiffBA, NumRep=100, type="n")


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