rescale.CPST: Generating rescaled series as in Cavaliere et al. (2015)
In d9d6ka/RANEPA-R: Set of unit root and cointegration tests
rescale.CPST R Documentation
Generating rescaled series as in Cavaliere et al. (2015)
Description
This rescaling procedure is needed to cope with possible heteroscedasticity
in the data. Simply it's achieved by taking a cumulative sum of the
first difference normalized by the non-parametric local estimate of the
variance.
Usage
rescale.CPST(d.y, x, deter, adf.lag, max.lag)
Arguments
d.y
A series of first differences.
x
A matrix of ADF variables.
deter
A matrix of deterministic variables for detrending.
adf.lag
A lag of the corresponding ADF model.
max.lag
The maximum possible lag.
Value
A rescaled series.
References
Cavaliere, Giuseppe, Peter C. B. Phillips, Stephan Smeekes,
and A. M. Robert Taylor. “Lag Length Selection for Unit Root Tests
in the Presence of Nonstationary Volatility.”
Econometric Reviews 34, no. 4 (April 21, 2015): 512–36.
https://doi.org/10.1080/07474938.2013.808065.
d9d6ka/RANEPA-R documentation built on May 4, 2024, 7:11 a.m.
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| rescale.CPST | R Documentation |
Generating rescaled series as in Cavaliere et al. (2015)
Description
This rescaling procedure is needed to cope with possible heteroscedasticity in the data. Simply it's achieved by taking a cumulative sum of the first difference normalized by the non-parametric local estimate of the variance.
Usage
rescale.CPST(d.y, x, deter, adf.lag, max.lag)
Arguments
d.y |
A series of first differences. |
x |
A matrix of ADF variables. |
deter |
A matrix of deterministic variables for detrending. |
adf.lag |
A lag of the corresponding ADF model. |
max.lag |
The maximum possible lag. |
Value
A rescaled series.
References
Cavaliere, Giuseppe, Peter C. B. Phillips, Stephan Smeekes, and A. M. Robert Taylor. “Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility.” Econometric Reviews 34, no. 4 (April 21, 2015): 512–36. https://doi.org/10.1080/07474938.2013.808065.
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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