PY.sequential: Sequential Perron-Yabu (2009) statistic for breaks at unknown...

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

Sequential Perron-Yabu (2009) statistic for breaks at unknown date.

Description

Sequential Perron-Yabu (2009) statistic for breaks at unknown date.

Usage

PY.sequential(
  y,
  const = FALSE,
  breaks = 1,
  criterion = "aic",
  trim = 0.15,
  max.lag = 1
)

Arguments

y	A time series of interest.
const	Allowing the break in constant.
breaks	A number of breaks.
criterion	Needed information criterion: aic, bic, hq or lwz.
trim	A trimming value for a possible break date bounds.
max.lag	The maximum possible lag in the model.

Details

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

Value

An estimated Wald statistic.

References

Kejriwal, Mohitosh, and Pierre Perron. “A Sequential Procedure to Determine the Number of Breaks in Trend with an Integrated or Stationary Noise Component: Determination of Number of Breaks in Trend.” Journal of Time Series Analysis 31, no. 5 (September 2010): 305–28. https://doi.org/10.1111/j.1467-9892.2010.00666.x.

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