weighted.SADF.test: Weighted supremum ADF test

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

Weighted supremum ADF test

Description

Weighted supremum ADF test

Usage

weighted.SADF.test(
  y,
  trim = 0.01 + 1.8/sqrt(length(y)),
  const = TRUE,
  alpha = 0.05,
  iter = 4 * 200,
  urs = TRUE,
  seed = round(10^4 * sd(y))
)

weighted.GSADF.test(
  y,
  trim = 0.01 + 1.8/sqrt(length(y)),
  const = TRUE,
  alpha = 0.05,
  iter = 4 * 200,
  urs = TRUE,
  seed = round(10^4 * sd(y))
)

Arguments

y	A time series of interest.
trim	The trimming parameter to find the lower and upper bounds of possible break dates.
const	Whether the constant needs to be included.
alpha	A significance level of interest.
iter	Nnumber of iterations.
urs	Use ⁠union of rejections⁠ strategy.
seed	A seed parameter for the random number generator.

Details

Refactored original code by Kurozumi et al.

Value

An object of type sadf. It's a list of:

• y,

• trim,

• const,

• alpha,

• iter,

• urs,

• seed,

• sigma.sq: the estimated variance,

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

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

• supBZ.bootstsrap.values: bootstrapped supremum BZ values,

• supBZ.cr.value: supremum BZ \alpha critical value,

• p.value,

• is.explosive: 1 if supBZ.value is greater than supBZ.cr.value.

if urs is TRUE the following items are also included:

• vector of t-values,

• the value of the SADF test statistic,

• SADF.bootstrap.values: bootstrapped SADF values,

• U.value: union test statistic value,

• U.bootstrap.values: bootstrapped series of U.value,

• U.cr.value: critical value of U.value.

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.

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.