NonlinearTSA (version 0.5.0)

KSS_2006_Cointegration: Kapetanios, Shin and Snell(2006) nonlinear cointegration test function

Description

This function allows you to make Kapetanios, Shin and Snell(2006) nonlinear cointegration test using residual based approach

Usage

KSS_2006_Cointegration(y, x, case, lags, lsm)

Arguments

y

series name,

x

series name

case

if raw data 1 if demeaned data 2 if detrended data 3,

lags

lag length

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

References

Kapetanios, G., Shin, Y., & Snell, A. (2006). Testing for cointegration in nonlinear smooth transition error correction models. Econometric Theory, 22(2), 279-303.

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

Examples

# NOT RUN {
x <- cumsum(rnorm(1000))
y <- cumsum(rnorm(1000))
KSS_2006_Cointegration(x, y, case = 1, lags = 6, lsm = 3)


KSS_2006_Cointegration(MarketPrices[,1],MarketPrices[,2], case = 1, lags = 2, lsm = 1)

# }