NonlinearTSA (version 0.5.0)

Kilic_2011_unit_root: Kilic(2011) nonlinear unit root test function

Description

This function allows you to make Kilic(2011) nonlinear unit root test

Usage

Kilic_2011_unit_root(x, case, max_lags)

Arguments

x

series name,

case

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

max_lags

maximum lag apropriate lag length is selected by Akaike Information Criteria

Value

"Model" Estimated model

"Selected Lag" the lag order

"Test statistic" the value of the test statistic

References

K<U+0131>l<U+0131><U+00E7>, R. (2011). Testing for a unit root in a stationary ESTAR process. Econometric Reviews, 30(3), 274-302.

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

Examples

# NOT RUN {
# }
# NOT RUN {
x <- rnorm(100)
Kilic_2011_unit_root(x,1,3)

data(IBM)
Kilic_2011_unit_root(IBM, case = 3, max_lags = 12)

# }
# NOT RUN {
# }