Auxiliary Function (not accessible to users) to create all bootstrap statistics used to perform the unit root tests.
do_tests_and_bootstrap(y, BSQT_test, iADF_test, level, boot, B, l, ar_AWB,
union, p_min, p_max, ic, dc, detr, ic_scale, q, h_rs, show_progress)
A \(T\)-dimensional vector or a (\(T\) x \(N\))-matrix of \(N\) time series with \(T\) observations to be tested for unit roots. Data may also be in a time series format (e.g. ts
, zoo
or xts
), or a data frame, as long as each column represents a single time series.
Logical indicator whether or not to perform the Bootstrap Quantile Test (TRUE
) or not (FALSE
).
Logical indicator whether or not to perform the individual ADF Tests (TRUE
) or not (FALSE
).
Desired significance level of the unit root test.
String for bootstrap method to be used. Options are
"MBB"
Moving blocks bootstrap;
"BWB"
Block wild bootstrap;
"DWB"
Dependent wild bootstrap;
"AWB"
Autoregressive wild bootstrap;
"SB"
Sieve bootstrap;
"SWB"
Sieve wild boostrap.
Number of bootstrap replications. Default is 1999.
Desired 'block length' in the bootstrap. For the MBB, BWB and DWB boostrap, this is a genuine block length. For the AWB boostrap, the block length is transformed into an autoregressive parameter via the formula \(0.01^(1/l)\); this can be overwritten by setting ar_AWB
directly. If NULL, sets the block length as a function of the time series length T, via the rule \(l = 1.75 T^(1/3)\).
Autoregressive parameter used in the AWB bootstrap method (boot = "AWB"
). Can be used to set the parameter directly rather than via the default link to the block length l.
Logical indicator whether or not to use bootstrap union tests (TRUE
) or not (FALSE
).
Minimum lag length in the augmented Dickey-Fuller regression.
Maximum lag length in the augmented Dickey-Fuller regression.
String for information criterion used to select the lag length in the augmented Dickey-Fuller regression. Options are: "AIC"
, "BIC"
, "MAIC"
, "MBIC
.
Numeric vector indicating the deterministic specification. Only relevant if union = FALSE
. Options are (combinations of): 0
- no deterministics; 1
- intercept only; 2
- intercept and trend. If union = FALSE
and NULL
, an intercpet is added.
String vector indicating the type of detrending to be performed. Only relevant if union = FALSE
. Options are: "OLS"
and/or "QD"
(typically also called GLS). If NULL, set to "OLS"
.
Logical indicator whether or not to use the rescaled information criteria (TRUE
) or not (FALSE
).
Numeric vector of quantiles to be tested. Default is to test each unit sequentially.
Bandwidth used in rescaled information criteria.
Logical indicator whether a bootstrap progress update should be printed to the console. Default is FALSE.