COINT (version 0.0.2)

kpss_1br: KPSS Unit Root Test with One Structural Break

Description

Implement the Kurozumi (2002) sequential kpss test with one structural break.

Usage

kpss_1br(y,
        lags = c("short", "long", "nil"),
        model=c("intercept","both"),
        use=c("nw","ba"),
        trim=0.1)

Value

teststat

The kpss test statistic with one structural break.

cval

Critical values.

bpoint

The breaking point that corresponds to the teststat.

tstats

The sequential KPSS test statistic.

Arguments

y

Vector to be tested for a unit root.

lags

Lags used for correction of error term.

model

Modelling where the unknown structural change occurs.
intercept= structural change occurs at the intercept.
both= structural changes occur at both the intercept and the trend.

use

User specified lags for correction of error term. The default is the lag determined by Newey-West bandwidth "nw" with Bartlett "ba" kernel. Users can input your own number. This version suports two bandwidth functions: "nw" for Newey-West, "and" for Andrews. Three kernel functions are supported by both bandwidth functions: "ba"=Bartlett, "pa"=Parzen, "qs"=Qudratic Spectral

trim

The trimming percentage. Default is 10

Author

Ho Tsung-wu <[e-mail]>, College of Management, National Taiwan Normal University.

Details

lags="short" sets the number of lags to \(\sqrt[4]{4 \times (n/100)}\), whereas lags="long" sets the number of lags to \(\sqrt[4]{12 \times (n/100)}\). If lags="nil" is choosen, then no error correction is made. Furthermore, lags and use are mutually exclusive. As long as use is not set to be NULL, its argumenta will be chosen fisrt. One can specify a different number of maximum lags by setting use accordingly.

References

Kwiatkowski, D., Phillips, P.C.B., Schmidt, P. and Shin, Y. (1992) Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root? Journal of Econometrics, 54, 159-178.
Kurozumi, E. (2002) Testing for stationarity with a break. Journal of Econometrics,108(1), 105-127.
Phillips, P.C.B. and Sainan Jin (2002) The KPSS test with seasonal dummies. Economics Letters, 77, 239-243.

Examples

data(macro)
y=macro[,"INF"]
KPSS1=kpss_1br(y,model=c("intercept","both")[2],use=c("nw","ba"))
KPSS1$teststat
KPSS1$cval
y[KPSS1$bpoint,]
#Plot
plot.ts(KPSS1$tstats,ylim=range(c(KPSS1$tstats,KPSS1$cval)));grid()
abline(h=KPSS1$cval[1],col="red")
abline(h=KPSS1$cval[2],col="blue")
abline(h=KPSS1$cval[3],col="green")
abline(v=KPSS1$bpoint,col="red",lty=2)