ACValues: Andrews Tabulated Critical Values

In tseriesTARMA: Analysis of Nonlinear Time Series Through Threshold Autoregressive Moving Average Models (TARMA) Models

Andrews Tabulated Critical Values

Description

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The data is taken from Table 1 of \insertCiteAnd03tseriesTARMA, which provides asymptotic critical values for sup Wald, LM, and LR tests for parameter instability. Critical values are given for degrees of freedom \mjeqnp=1,...,20p = 1, ..., 20. They can be used as asymptotic critical values for the following tests:

• TAR.test

• TARMA.test

• TARMAGARCH.test

Provided pb = 1- pa.

Usage

ACValues

Format

ACValues

A matrix with 13 rows and 62 columns. The first two columns contain the parameters, whereas the remaining 60 columns contain 3 critical values (at level 10%, 5%, and 1%) for each value of the parameter \mjeqnpp:

pi

\mjeqn\pi

_0\pi[0] in the paper, corresponds to pa.

lambda

\mjeqn\lambda\lambda

in the paper, not relevant here.

1-90

\mjeqn

p=1p=1, critical level 10%.

1-95

\mjeqn

p=1p=1, critical level 5%.

1-99

\mjeqn

p=1p=1, critical level 1%.

...

20-90

\mjeqn

p=20p=20, critical level 10%.

20-95

\mjeqn

p=20p=20, critical level 5%.

20-99

\mjeqn

p=20p=20, critical level 1%.

Note that \mjeqnpp are the degrees of freedom and correspond to the total number of tested parameter in the above tests.

Source

\insertRef

And03tseriesTARMA

tseriesTARMA documentation built on Oct. 8, 2024, 5:11 p.m.