supSBADF.statistic: Calculate superior sign-based SADF statistic.
In d9d6ka/RANEPA-R: Set of unit root and cointegration tests
View source: R/sb.GSADF.test.R
supSBADF.statistic R Documentation
Calculate superior sign-based SADF statistic.
Description
Calculate superior sign-based SADF statistic.
Usage
supSBADF.statistic(y, trim = 0.01 + 1.8/sqrt(length(y)), generalized = FALSE)
Arguments
y
The series of interest.
trim
Trimming parameter to determine the lower and upper bounds.
generalized
Whether to calculate generalized statistic value.
Value
A list of
-
y,
-
trim,
-
C.t: the cumulative sum of "signs" (1 or -1) of the first difference of
y,
-
SBADF.values: series of sign-based ADF statistics,
-
supSBADF.value: the maximum of SBADF.values.
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.
d9d6ka/RANEPA-R documentation built on May 4, 2024, 7:11 a.m.
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View source: R/sb.GSADF.test.R
| supSBADF.statistic | R Documentation |
Calculate superior sign-based SADF statistic.
Description
Calculate superior sign-based SADF statistic.
Usage
supSBADF.statistic(y, trim = 0.01 + 1.8/sqrt(length(y)), generalized = FALSE)
Arguments
y |
The series of interest. |
trim |
Trimming parameter to determine the lower and upper bounds. |
generalized |
Whether to calculate generalized statistic value. |
Value
A list of
-
y, -
trim, -
C.t: the cumulative sum of "signs" (1 or -1) of the first difference ofy, -
SBADF.values: series of sign-based ADF statistics, -
supSBADF.value: the maximum ofSBADF.values.
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.
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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