MDF.multiple: MDF procedure for multiple unknown breaks.

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

MDF procedure for multiple unknown breaks.

Description

MDF procedure for multiple unknown breaks.

Usage

MDF.multiple(
  y,
  const = FALSE,
  breaks = 1,
  breaks.star = 1,
  trim = 0.15,
  ZA = FALSE
)

Arguments

y	A time series of interest.
const	Whether the constant term should be included.
breaks	Number of breaks.
breaks.star	Number of breaks got from the Kejrival-Perron procedure.
trim	Trimming value for a possible break date bounds.
ZA	Whether ZA variant should be used.

Details

The code provided is the original Ox code by Skrobotov (2018) ported to R.

Value

A list of sublists each containing

• The value of statistic: MDF-GLS, MDF-OLS,

• The asymptotic critical values. UR values are included as well.

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