KPSS.1.break: KPSS-test with known structural break

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

KPSS-test with known structural break

Description

Computes the cointegration test with one known structural break.

Usage

KPSS.1.break(y, x, model, break.point, weakly.exog = TRUE, ll.init)

Arguments

y	A time series of interest.
x	A matrix of explanatory stochastic regressors.
model	A scalar equal to 1: for model An, 2: for model A, 3: for model B, 4: for model C, 5: for model D, 6: for model E.
break.point	A position of the break point.
weakly.exog	Exogeneity of the stochastic regressors TRUE: if the regressors are weakly exogenous, FALSE: if the regressors are not weakly exogenous (DOLS is used in this case).
ll.init	A scalar, defines the initial number of leads and lags for DOLS.

Details

The code provided is the original GAUSS code by Carrion-i-Silvestre and Sansó ported to R.

See Carrion-i-Silvestre and Sansó (2006) for further details.

Value

A list of:

• beta: DOLS estimates of the coefficients,

• tests: SC test (coinKPSS-test),

• resid: Residuals of the model,

• t.beta: Individual significance t-statistics,

• break_point: Break point.

References

Carrion-i-Silvestre, Josep Lluís, and Andreu Sansó. “Testing the Null of Cointegration with Structural Breaks.” Oxford Bulletin of Economics and Statistics 68, no. 5 (October 2006): 623–46. https://doi.org/10.1111/j.1468-0084.2006.00180.x.

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