Pvalue: all in one function of iterated HP-filter

In lyig123/test2:

Description

all in one function of iterated HP-filter

Usage

Pvalue(x, ...)

Arguments

x	the data you want to conduct HP-filter
lambda	the turning parameter
iter	logical parameter, TRUE is to conduct iterated HP-filter, FALSE is not
test_type	the type for creterion
sig_p	significant p-value
Max_Iter	maximum iterated time

Value

cycle component, iterated number, p-value .

Examples

lam <- 100 # tuning parameter for the annaul data

# raw HP filter
bx_HP <- BoostedHP(x, lambda = lam, iter= FALSE)$trend

# by BIC
bx_BIC <- BoostedHP(IRE, lambda = lam, iter= TRUE, test_type = "BIC")

# by ADF
bx_ADF <- BoostedHP(IRE, lambda = lam, iter= TRUE, test_type = "adf", sig_p = 0.050)

# summarize the outcome
outcome <- cbind(IRE, bx_HP$trend, bx_BIC$trend, bx_ADF$trend)

matplot(outcome, type = "l", ylab = "", lwd = rep(2,4))

lyig123/test2 documentation built on Nov. 4, 2019, 5:16 p.m.