sb.GSADF.test: Sign-based SADF test

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

Sign-based SADF test

Description

Sign-based SADF test

Usage

sb.GSADF.test(
  y,
  trim = 0.01 + 1.8/sqrt(length(y)),
  const = TRUE,
  alpha = 0.05,
  iter = 999,
  urs = TRUE,
  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	Needed level of significance.
iter	Number of bootstrapping iterations.
urs	Use union of rejections strategy if TRUE.
seed	The seed parameter for the random number generator.

Details

Refactored original code by Kurozumi et al.

References

Harvey, David I., Stephen J. Leybourne, and Yang Zu. “Sign-Based Unit Root Tests for Explosive Financial Bubbles in the Presence of Deterministically Time-Varying Volatility.” Econometric Theory 36, no. 1 (February 2020): 122–69. https://doi.org/10.1017/S0266466619000057.

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.