BBCTest: Test of unit root against SETAR alternative

View source: R/BBCtest.R

BBCTestR Documentation

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 Feb. 16, 2023, 6:57 p.m.