NonlinearTSA (version 0.5.0)

Cuestas_Garratt_unit_root: Cuestas and Garratt(2011) nonlinear unit root test function

Description

This function allows you to make Cuestas and Garratt(2011) nonlinear unit root test

Usage

Cuestas_Garratt_unit_root(x, max_lags, lsm)

Arguments

x

series name,

max_lags

maximum lag

lsm

lag selection methods if 1 AIC, if 2 BIC, if 3 t-stat significance

Value

Model Estimated model

Selected lag the lag order

Test Statistic the value of the test statistic

CV Critical Values

References

Cuestas, J. C., & Garratt, D. (2011). Is real GDP per capita a stationary process? Smooth transitions, nonlinear trends and unit root testing. Empirical Economics, 41(3), 555-563.

Burak Guris, R Uygulamal<U+0131> Dogrusal Olmayan Zaman Serileri Analizi, DER Yayinevi, 2020.

Examples

# NOT RUN {
x <- rnorm(1000)
Cuestas_Garratt_unit_root(x,max_lags=6,lsm=3)

y <- cumsum(rnorm(1000))
Cuestas_Garratt_unit_root(y,max_lags=12,lsm=2)

data(IBM)
Cuestas_Garratt_unit_root(IBM,max_lags=3,lsm=1)


# }