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

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

KPSS-test with 2 unknown structural breaks

Description

Procedure to compute the KPSS test with two structural breaks

Usage

KPSS.2.breaks.unknown(y, model, max.lag = 0, kernel = "bartlett")

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.
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 ported to R.

See Carrion-i-Silvestre and Sansó (2007) for further details.

Value

Value of test statistic.

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.