BBCTest: Test of unit root against SETAR alternative

In tsDyn: Nonlinear Time Series Models with Regime Switching

Test of unit root against SETAR alternative

Description

Test of unit root against a stationnary three regime SETAR alternative

Usage

BBCTest(
  x,
  m,
  series,
  testStat = c("LR", "Wald", "LM"),
  trim = 0.1,
  grid = c("minPerc", "minObs")
)

Arguments

x	time series
m	Number of lags under the alternative
series	time series name (optional)
testStat	Type of test statistic to use
trim	trimming parameter indicating the minimal percentage of observations in each regime
grid	Whether a minimal number of percentage or observations should be imposed. See details

Details

TODO

Value

A object of class "BBC2004Test" containing:

-The value of the sup Test

-The version of test used (either Wald, LM or LR).

Author(s)

Matthieu Stigler

References

Bec, Ben Salem and Carrasco (2004) Tests for Unit-Root versus Threshold Specification With an Application to the Purchasing Power Parity Relationship, Journal of Business and Economic Statistics; 22:4

See Also

setarTest for a test with stationarity as a null.

Examples

BBCTest(lynx, m=3, test="Wald", grid="minPerc")

tsDyn documentation built on Oct. 31, 2024, 5:08 p.m.