KPSS.N.breaks: KPSS-test with multiple known structural breaks

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

KPSS-test with multiple known structural breaks

Description

Procedure to compute the KPSS test with multiple known structural breaks

Usage

KPSS.N.breaks(
  y,
  x,
  model,
  break.point,
  const = FALSE,
  trend = FALSE,
  weakly.exog = TRUE,
  lags.init,
  leads.init,
  max.lag,
  kernel,
  criterion = "bic"
)

Arguments

y	A time series of interest.
x	A matrix of explanatory stochastic regressors.
model	A scalar or vector of 1: for the break in const, 2: for the break in trend, 3: for the break in const and trend.
break.point	Array of structural breaks.
const, trend	Whether a constant or trend should be included.
weakly.exog	Boolean where we specify whether the stochastic regressors are exogenous or not TRUE: if the regressors are weakly exogenous, FALSE: if the regressors are not weakly exogenous (DOLS is used in this case).
lags.init, leads.init	Scalars defininig the initial number of lags and leads for DOLS.
max.lag	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.
criterion	Information criterion for DOLS lags and leads selection: aic, bic, hq, or lwz.

Details

The code provided is based on the original code by Carrion-i-Silvestre and Sansó.

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,

• DOLS.lags: The estimated number of lags and leads in DOLS,

• break_point: Break points.

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.

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.