fixedb.test: Fixed-b unit root test

In ottosven/urtrend: Unit Root Testing with Slowly Varying Trends

Description

Performs the fixed-b unit root test

Usage

fixedb.test(y, B = floor(0.2 * length(y)), HC = TRUE)

Arguments

y	Vector to be tested for a unit root.
B	An integer defining the blocklength; default is 0.2*T.
HC	A logical variable defining whether the heteroskedasticity robust version (HC = TRUE) or the homoskedasticity version (HC = FALSE) should be used; default is HC = TRUE..

Value

A list containing the following components:

teststatistic	The value of the small-b test statistic.
crit.values	A vector of critical valiues for different significance levels.
rejection	A logical vector indicating whether the unit root hypothesis is rejected in favor of stationarity for at different significance levels.
crit.blocklength	The relative blocklength for which the critical values are reported.

Examples

series1 <- rnorm(100) + c(rep(0,60), rep(5, 40))
fixedb.test(series1)
series2 <- cumsum(rnorm(100)) + c(rep(0,60), rep(5, 40))
fixedb.test(series2)
## autocorrelation robust test
series3 <- filter(rnorm(300),0.8,"recursive")
series3.pw <- get.prewhitened(series3, p = 1)
fixedb.test(series3.pw)

ottosven/urtrend documentation built on June 20, 2021, 10:54 a.m.