tools/test_data2.R

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

Y <- rnorm(100)
Y2 <- Y
Y2[51:100] <- Y2[51:100] + 2
X <- rnorm(100)
data <- data.frame(Y, Y2, X)

SSR.1 <- SSR.matrix(data$Y2, 1:100, width = 4)
res.1.2 <-
    segs.SSR.N.breaks(data$Y2, 1:100, 1, width = 4, SSR.data = SSR.1)
KPSS.1.2a <- KPSS.N.breaks(
    data$Y,
    NULL,
    model = 1,
    break.point = res.1.2$break.point,
    const = FALSE,
    trend = TRUE,
    lags.init = 4,
    leads.init = 4,
    corr.max = 0,
    kernel = NULL,
    weakly.exog = TRUE
)
KPSS.1.2a.boot <- KPSS.N.breaks.bootstrap(
    data$Y,
    NULL,
    model = 1,
    break.point = res.1.2$break.point,
    const = FALSE,
    trend = TRUE,
    lags.init = 4,
    leads.init = 4,
    corr.max = 0,
    kernel = NULL,
    weakly.exog = TRUE
)

KPSS.1.2b <- KPSS.N.breaks(
    data$Y,
    data$X,
    model = 1,
    break.point = res.1.2$break.point,
    const = FALSE,
    trend = TRUE,
    lags.init = 4,
    leads.init = 4,
    corr.max = 0,
    kernel = NULL,
    weakly.exog = FALSE
)
KPSS.1.2b.boot <- KPSS.N.breaks.bootstrap(
    data$Y,
    data$X,
    model = 1,
    break.point = res.1.2$break.point,
    const = FALSE,
    trend = TRUE,
    lags.init = 4,
    leads.init = 4,
    corr.max = 0,
    kernel = NULL,
    weakly.exog = FALSE
)