NonlinearTSA (version 0.5.0)

KSS_Unit_Root: Kapetanios, Shin and Snell(2003) nonlinear unit root test function

Description

This function allows you to make Kapetanios, Shin and Snell(2003) nonlinear unit root test

Usage

KSS_Unit_Root(x, case, lags, lsm)

Arguments

x

series name,

case

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

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

References

Kapetanios, G., Shin, Y., & Snell, A. (2003). Testing for a unit root in the nonlinear STAR framework. Journal of econometrics, 112(2), 359-379.

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

Examples

# NOT RUN {
x <- rnorm(1000)
KSS_Unit_Root(x, case = 1, lags = 6, lsm =1)


y <- cumsum(rnorm(1000))
KSS_Unit_Root(y, 1, 3, 3)


data(IBM)
KSS_Unit_Root(IBM,case = 1,lags = 20,lsm = 3)


# }