supBZ.statistic: Calculate supBZ statistic

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

Calculate supBZ statistic

Description

Calculate supBZ statistic

Usage

supBZ.statistic(
  y,
  trim = 0.01 + 1.8/sqrt(length(y)),
  sigma.sq = NULL,
  generalized = FALSE
)

Arguments

y	A time series of interest.
trim	The trimming parameter to find the lower and upper bounds of possible break dates.
sigma.sq	Local non-parametric estimates of variance. If NULL they will be estimated via Nadaraya-Watson procedure.
generalized	Whether to calculate generalized statistic value.

Value

A list of:

• y,

• trim,

• sigma.sq,

• BZ.values: a series of BZ-statistic,

• supBZ.value: the maximum of supBZ.values,

• h.est: the estimated value of bandwidth if sigma.sq is NULL.

References

Harvey, David I., Stephen J. Leybourne, and Yang Zu. “Testing Explosive Bubbles with Time-Varying Volatility.” Econometric Reviews 38, no. 10 (November 26, 2019): 1131–51. https://doi.org/10.1080/07474938.2018.1536099.

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