SADF.bootstrap.test: Supremum ADF tests with wild bootstrap.

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

Supremum ADF tests with wild bootstrap.

Description

SADF.bootstrap.test is a wild bootstrapping procedure for estimating critical and p-values for SADF.test.

GSADF.bootstrap.test is the same procedure but for GSADF.test.

Usage

SADF.bootstrap.test(
  y,
  trim = 0.01 + 1.8/sqrt(length(y)),
  const = TRUE,
  alpha = 0.05,
  iter = 999,
  seed = round(10^4 * sd(y))
)

GSADF.bootstrap.test(
  y,
  trim = 0.01 + 1.8/sqrt(length(y)),
  const = TRUE,
  alpha = 0.05,
  iter = 4 * 200,
  seed = round(10^4 * sd(y))
)

Arguments

y	A time series of interest.
trim	A trimming parameter to determine the lower and upper bounds for a possible break point.
const	Whether the constant needs to be included.
alpha	The significance level of interest.
iter	The number of iterations.
seed	The seed parameter for the random number generator.

Details

Refactored original code by Kurozumi et al.

Value

An object of type sadf. It's a list of:

• y,

• trim,

• const,

• alpha,

• iter,

• seed,

• vector of t-values,

• the value of the corresponding test statistic,

• series of bootstrapped test statistics,

• bootstrapped critical values,

• p-value.

References

Kurozumi, Eiji, Anton Skrobotov, and Alexey Tsarev. “Time-Transformed Test for Bubbles under Non-Stationary Volatility.” Journal of Financial Econometrics, April 23, 2022. https://doi.org/10.1093/jjfinec/nbac004.

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