KPSS.2.breaks: KPSS-test with 2 known structural breaks

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

KPSS-test with 2 known structural breaks

Description

Procedure to compute the KPSS test with two structural breaks

Usage

KPSS.2.breaks(y, model, break.point, max.lag, kernel)

Arguments

y	A time series of interest.
model	A scalar equal to 1: for the AA (without trend) model, 2: for the AA (with trend) model, 3: for the BB model, 4: for the CC model, 5: for the AC-CA model.
break.point	Positions for the first and second structural breaks (respective to the origin which is 1).
max.lag	A scalar, with the maximum order of the parametric correction. The final order of the parametric correction is selected using the BIC information criterion.
kernel	Kernel for calculating long-run variance bartlett: for Bartlett kernel, quadratic: for Quadratic Spectral kernel, NULL for the Kurozumi's proposal, using Bartlett kernel.

Details

The break points are known.

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

See Carrion-i-Silvestre and Sansó (2007) 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: t-statistics for beta,

• break_point: Break points.

References

Carrion-i-Silvestre, Josep Lluís, and Andreu Sansó. “The KPSS Test with Two Structural Breaks.” Spanish Economic Review 9, no. 2 (May 16, 2007): 105–27. https://doi.org/10.1007/s10108-006-9017-8.

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