MDF.CHLT: MDF test for a single break and possible heteroscedasticity
In d9d6ka/RANEPA-R: Set of unit root and cointegration tests
MDF.CHLT R Documentation
MDF test for a single break and possible heteroscedasticity
Description
MDF test for a single break and possible heteroscedasticity
Usage
MDF.CHLT(y, max.lag = 10, trim = 0.15, iter = 499)
Arguments
y
A time series of interest.
max.lag
The maximum possible lag.
trim
Trimming parameter for lag selection
iter
Number of bootstrap iterations.
Details
The code provided is the original GAUSS code by Cavaliere et al.
ported to R.
Value
An object of type mdfCHLT. It's a list of four sublists
each containing:
The value of MZ_\alpha, MSB, MZ_t, or ADF,
The asymptotic c.v.,
The bootstrapped c.v.
References
Cavaliere, Giuseppe, David I. Harvey, Stephen J. Leybourne,
and A.M. Robert Taylor.
“Testing for Unit Roots in the Presence of a Possible Break in Trend and
Nonstationary Volatility.”
Econometric Theory 27, no. 5 (October 2011): 957–91.
https://doi.org/10.1017/S0266466610000605.
d9d6ka/RANEPA-R documentation built on May 4, 2024, 7:11 a.m.
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| MDF.CHLT | R Documentation |
MDF test for a single break and possible heteroscedasticity
Description
MDF test for a single break and possible heteroscedasticity
Usage
MDF.CHLT(y, max.lag = 10, trim = 0.15, iter = 499)
Arguments
y |
A time series of interest. |
max.lag |
The maximum possible lag. |
trim |
Trimming parameter for lag selection |
iter |
Number of bootstrap iterations. |
Details
The code provided is the original GAUSS code by Cavaliere et al. ported to R.
Value
An object of type mdfCHLT. It's a list of four sublists
each containing:
The value of
MZ_\alpha,MSB,MZ_t, orADF,The asymptotic c.v.,
The bootstrapped c.v.
References
Cavaliere, Giuseppe, David I. Harvey, Stephen J. Leybourne, and A.M. Robert Taylor. “Testing for Unit Roots in the Presence of a Possible Break in Trend and Nonstationary Volatility.” Econometric Theory 27, no. 5 (October 2011): 957–91. https://doi.org/10.1017/S0266466610000605.
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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