KapShinTest: Test of unit root against SETAR alternative with

In tsDyn: Nonlinear Time Series Models with Regime Switching

Test of unit root against SETAR alternative with

Description

Test of unit root against a stationnary 3 regime SETAR alternative with random walk in the inner regime

Usage

 KapShinTest(x, m=1, series, include = c("none","const", "trend", "both"), 
  c=3, delta=0.5, points=NULL,minObsMid=10, 
  trick=c("for", "apply", "mapply"), trace=FALSE)

Arguments

x	time series
m	Number of lags under the alternative
series	time series name (optional)
include	Whether data should be raw, de-meaned or de-meaned and de-trended
c	Argument for the grid search. See details
delta	Argument for the grid search. See details
points	Points for the grid search. See details
minObsMid	Minimal number of observations in the inner regime
trick	type of internal function used
trace	should additional infos be printed? (logical)

Details

This function is currently spurious.

Value

A object of class KapShin2006Test containing:

statistic	The three (SupW, AvgW, ExpW) test statistics computed
case	Whether the data was transformed, corresponds to input argument include
series	The name of the series

Author(s)

Matthieu Stigler

See Also

BBCTest for a similar test. setarTest for a test with stationarity as a null.

Examples

KapShinTest(lynx, m=1, trace=FALSE, include="none", points=10)

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