KPSS.1.break.unknown: KPSS-test of cointegration
In d9d6ka/RANEPA-R: Set of unit root and cointegration tests
KPSS.1.break.unknown R Documentation
KPSS-test of cointegration
Description
Procedure for testing the null of cointegration in the possible presence of
structural breaks.
Usage
KPSS.1.break.unknown(y, x, model, weakly.exog, 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.
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
Scalar, defines the initial number of leads and lags for DOLS.
Details
Computes the cointegration test with one unknown structural break
where the break point is estimated either minimizing the value of
the statistic or the sum of the squared residuals.
The estimation of the cointegrating relationship bases on DOLS.
The code provided is the original GAUSS code ported to R.
See Carrion-i-Silvestre and Sansó (2006) for further details.
Value
(2x2)-matrix, where the first rows gives the value of
the min(SC) test and the estimated break point;
the second row gives the value of the SC statistic,
where the break point is estimated as min(SSR).
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.
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| KPSS.1.break.unknown | R Documentation |
KPSS-test of cointegration
Description
Procedure for testing the null of cointegration in the possible presence of structural breaks.
Usage
KPSS.1.break.unknown(y, x, model, weakly.exog, ll.init)
Arguments
y |
A time series of interest. |
x |
A matrix of explanatory stochastic regressors. |
model |
A scalar equal to
|
weakly.exog |
Exogeneity of the stochastic regressors
|
ll.init |
Scalar, defines the initial number of leads and lags for DOLS. |
Details
Computes the cointegration test with one unknown structural break where the break point is estimated either minimizing the value of the statistic or the sum of the squared residuals. The estimation of the cointegrating relationship bases on DOLS.
The code provided is the original GAUSS code ported to R.
See Carrion-i-Silvestre and Sansó (2006) for further details.
Value
(2x2)-matrix, where the first rows gives the value of the min(SC) test and the estimated break point; the second row gives the value of the SC statistic, where the break point is estimated as min(SSR).
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.
R Package Documentation
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Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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