ADF.test.S: Detrending bootstrap test by Smeekes (2013)

In d9d6ka/RANEPA-R: Set of unit root and cointegration tests

Detrending bootstrap test by Smeekes (2013)

Description

This bootstrap test is based on the recursive detrending procedure of Taylor (2002). The main idea is to apply the standard ADF test to the series with nuissanse parameters eliminated.

Usage

ADF.test.S(
  y,
  const = TRUE,
  trend = FALSE,
  c = 0,
  gamma = 0,
  trim = 0.15,
  max.lag = 0,
  criterion = NULL,
  modified.criterion = FALSE,
  iter = 999
)

Arguments

y	A time series of interest.
const, trend	Whether the constant and trend are to be included.
c	A filtration parameter used to construct an autocorrelation coefficient.
gamma	Detrending type selection parameter. If 0 the OLS detrending is applied, if 1 the GLS detrending is applied, otherwise the autocorrelation coefficient is calculated as 1 + c^{\gamma} T^{-\gamma}.
trim	A trimming parameter.
max.lag	The maximum lag for inner ADF testing.
criterion	A criterion used to select number of lags. If lag selection is not needed keep this NULL.
modified.criterion	Whether the unit-root test modificaton is needed.
iter	The number of bootstrap iterations.

Details

Critical values are calculated via a bootstrapping using MacKinnon-like regressions. For each number of observations and each number of variables obtained were 1999 values of test statistics. After that 1st, 2.5-th, 5-th, 10-th, and 97.5-th percentiles were calculated and saved along with the corresponding number of observations. This step was repeated 5 times to cope with possible biases. After that MacKinnon-like regressions were estimated.

References

Taylor, A. M. Robert. “Regression-Based Unit Root Tests With Recursive Mean Adjustment for Seasonal and Nonseasonal Time Series.” Journal of Business & Economic Statistics 20, no. 2 (April 2002): 269–81. https://doi.org/10.1198/073500102317352001.

MacKinnon, James G. “Critical Values for Cointegration Tests.” Working Paper. Economics Department, Queen’s University, January 2010. https://ideas.repec.org/p/qed/wpaper/1227.html.

Smeekes, Stephan. “Detrending Bootstrap Unit Root Tests.” Econometric Reviews 32, no. 8 (July 2013): 869–91. https://doi.org/10.1080/07474938.2012.690693.

Elliott, Graham, Thomas J. Rothenberg, and James H. Stock. “Efficient Tests for an Autoregressive Unit Root.” Econometrica 64, no. 4 (1996): 813–36. https://doi.org/10.2307/2171846.

d9d6ka/RANEPA-R documentation built on May 4, 2024, 7:11 a.m.