SADF.test: Supremum ADF tests
In d9d6ka/RANEPA-R: Set of unit root and cointegration tests

SADF.test

R Documentation

Supremum ADF tests

Description

SADF.test is a test statistic equal to the minimum value of ADF.test for subsamples starting at t = 1.

GSADF.test is a generalized version of SADF.test. Subsamples are allowed to start at any point between 1 and T (1 - trim).

Usage

SADF.test(
  y,
  trim = 0.01 + 1.8/sqrt(length(y)),
  const = TRUE,
  add.p.value = TRUE
)

GSADF.test(
  y,
  trim = 0.01 + 1.8/sqrt(length(y)),
  const = TRUE,
  add.p.value = TRUE
)

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.
`add.p.value`	Whether the p-value is to be returned. This argument is needed to suppress the calculation of p-values during the precalculation of tables needed for the p-values estimating.

Details

Refactored original code by Kurozumi et al.

Value

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

y,
trim,
const,
vector of t-values,
the value of the corresponding test statistic,
p-value if it was asked for.

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.