NonlinearTSA (version 0.5.0)

Cuestas_Ordonez_2014_unit_root: Cuestas and Ordonez(2014) nonlinear unit root test function

Description

This function allows you to make Cuestas and Ordonez(2014) nonlinear unit root test

Usage

Cuestas_Ordonez_2014_unit_root(x, max_lags)

Arguments

x

series name,

max_lags

maximum lag selected lag is determined by AIC

Value

"model" Estimated model

"Selected lag" the lag order

"Test Statistic" the value of the test statistic

References

Cuestas, J. C., & Ord<U+00F3><U+00F1>ez, J. (2014). Smooth transitions, asymmetric adjustment and unit roots. Applied Economics Letters, 21(14), 969-972.

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

Examples

# NOT RUN {
x <- rnorm(1000)
Cuestas_Ordonez_2014_unit_root(x, max_lags = 6)

y <- cumsum(rnorm(1000))
Cuestas_Ordonez_2014_unit_root(y, max_lags = 8)

data(IBM)
Cuestas_Ordonez_2014_unit_root(IBM, max_lags = 20)


# }