eos.break.test: Andrews-Kim (2006) test
In d9d6ka/RANEPA-R: Set of unit root and cointegration tests
View source: R/eos.break.test.R
eos.break.test R Documentation
Andrews-Kim (2006) test
Description
Test for structural break at the end of the sample.
Usage
eos.break.test(eq, m, dataset)
Arguments
eq
Base model formula. At the moment all the variables included should
be defined explicitly, dynamic regressors (i.e. functions etc.) are not
supported.
m
Post-break period length.
dataset
Source of the data.
Details
See Andrews and Kim (2006) for the detailed description.
Value
A list of
-
m,
estimated values of P- and R-tests,
sequences of auxiliary statistics P_j and R_j,
the corresponding p-values.
References
Andrews, D. W. K.
“End-of-Sample Instability Tests.”
Econometrica 71, no. 6 (2003): 1661–94.
https://doi.org/10.1111/1468-0262.00466.
Andrews, Donald W. K, and Jae-Young Kim.
“Tests for Cointegration Breakdown Over a Short Time Period.”
Journal of Business & Economic Statistics 24, no. 4 (2006): 379–94.
https://doi.org/10.1198/073500106000000297.
d9d6ka/RANEPA-R documentation built on May 4, 2024, 7:11 a.m.
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View source: R/eos.break.test.R
| eos.break.test | R Documentation |
Andrews-Kim (2006) test
Description
Test for structural break at the end of the sample.
Usage
eos.break.test(eq, m, dataset)
Arguments
eq |
Base model formula. At the moment all the variables included should be defined explicitly, dynamic regressors (i.e. functions etc.) are not supported. |
m |
Post-break period length. |
dataset |
Source of the data. |
Details
See Andrews and Kim (2006) for the detailed description.
Value
A list of
-
m, estimated values of P- and R-tests,
sequences of auxiliary statistics
P_jandR_j,the corresponding p-values.
References
Andrews, D. W. K. “End-of-Sample Instability Tests.” Econometrica 71, no. 6 (2003): 1661–94. https://doi.org/10.1111/1468-0262.00466.
Andrews, Donald W. K, and Jae-Young Kim. “Tests for Cointegration Breakdown Over a Short Time Period.” Journal of Business & Economic Statistics 24, no. 4 (2006): 379–94. https://doi.org/10.1198/073500106000000297.
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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