PY.single: Perron-Yabu (2009) statistic for break at unknown date.
In d9d6ka/RANEPA-R: Set of unit root and cointegration tests

PY.single

R Documentation

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

Description

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

Usage

PY.single(
  y,
  const = FALSE,
  trend = FALSE,
  criterion = "aic",
  trim = 0.15,
  max.lag
)

Arguments

`y`	A time series of interest.
`const`, `trend`	Allowing the break in constant or trend.
`criterion`	Needed information criterion: aic, bic, hq or lwz.
`trim`	A trimming parameter to determine the lower and upper bounds for a possible break point.
`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

A list of the estimated Wald statistic as well as its c.v.

References

Perron, Pierre, and Tomoyoshi Yabu. “Testing for Shifts in Trend With an Integrated or Stationary Noise Component.” Journal of Business & Economic Statistics 27, no. 3 (July 2009): 369–96. https://doi.org/10.1198/jbes.2009.07268.

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