KPSS.HLT: Unit root testing procedure under a single structural break.
In d9d6ka/RANEPA-R: Set of unit root and cointegration tests
KPSS.HLT R Documentation
Unit root testing procedure under a single structural break.
Description
Unit root testing procedure under a single structural break.
Usage
KPSS.HLT(y, const = FALSE, trim = 0.15)
Arguments
y
A time series of interest.
const
Whether a constant should be included.
trim
The trimming parameter to find the lower and upper bounds of
possible break dates.
Value
The value of test statistic.
References
Harvey, David I., Stephen J. Leybourne, and A. M. Robert Taylor.
“Unit Root Testing under a Local Break in Trend.”
Journal of Econometrics 167, no. 1 (2012): 140–67.
d9d6ka/RANEPA-R documentation built on May 4, 2024, 7:11 a.m.
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| KPSS.HLT | R Documentation |
Unit root testing procedure under a single structural break.
Description
Unit root testing procedure under a single structural break.
Usage
KPSS.HLT(y, const = FALSE, trim = 0.15)
Arguments
y |
A time series of interest. |
const |
Whether a constant should be included. |
trim |
The trimming parameter to find the lower and upper bounds of possible break dates. |
Value
The value of test statistic.
References
Harvey, David I., Stephen J. Leybourne, and A. M. Robert Taylor. “Unit Root Testing under a Local Break in Trend.” Journal of Econometrics 167, no. 1 (2012): 140–67.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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