MDF.single: MDF procedure for a single unknown break.
In d9d6ka/RANEPA-R: Set of unit root and cointegration tests
MDF.single R Documentation
MDF procedure for a single unknown break.
Description
MDF procedure for a single unknown break.
Usage
MDF.single(y, const = FALSE, trend = FALSE, trim = 0.15)
Arguments
y
A time series of interest.
const
Whether the constant term should be included.
trend
Whether the trend term should be included.
trim
Trimming value for a possible break date bounds.
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.
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| MDF.single | R Documentation |
MDF procedure for a single unknown break.
Description
MDF procedure for a single unknown break.
Usage
MDF.single(y, const = FALSE, trend = FALSE, trim = 0.15)
Arguments
y |
A time series of interest. |
const |
Whether the constant term should be included. |
trend |
Whether the trend term should be included. |
trim |
Trimming value for a possible break date bounds. |
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.
URvalues are included as well.
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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