TED (version 1.1.1)

ur.za.fast: Unit root test for events considering a structrual break

Description

This function performs the Zivot & Andrews unit root test, which allows a break at an unknown point in either the intercept, the linear trend or in both.

Usage

ur.za.fast(y, model = c("intercept", "trend", "both"), lag = NULL)

Arguments

y

a vector or a time series.

model

Three choices: ``intercept', ``trend' or ``both'.

lag

a scalar chosen as lag.

Value

a list consisting of:

flag

0 if the time series is is stationary; 1 if it is a unit root process.

teststat

ZA unit root test statistic.

Details

This function is written refering to the ur.za function in the urza package (Pfaff 2008), but it speeds up executation using the RcppArmadillo package. Allowing a structrual break, this function returns flag to be 0 if the time series is stationary and 1 if it is a unit root process.

References

Eric Zivot and Donald W K Andrews (1992). Further evidence on the great crash, the oil-price shock, and the unit-root hypothesis. Journal of Business & Economic Statistics, 20(1), 25-44. http://dx.doi.org/10.1198/073500102753410372.

Pfaff, Bernhard (2008). Analysis of Integrated and Cointegrated Time Series with R. Second Edition. Springer, New York. http://www.springer.com/statistics/statistical+theory+and+methods/book/978-0-387-75966-1.

See Also

noiseTests

Examples

# this is a box function
set.seed(123)
x=cbfs_red('box')
ur.za.fast(x,'both')
# this is a cliff-ramp
set.seed(123)
x=cbfs_red('cr')
ur.za.fast(x,'both')
# this is a random walk process
set.seed(123)
x=cumsum(rnorm(300))
ur.za.fast(x,'both')