step2a

Computes step 2a of the icss Algorithm.

internal

Companion package of Carrion-i-Silvestre & Sansó (2023):
"Generalized Extreme Value Approximation to the CUMSUMQ Test for Constant
Unconditional Variance in Heavy-Tailed Time Series". It implements the Modified
Iterative Cumulative Sum of Squares Algorithm, which is an extension of
the Iterative Cumulative Sum of Squares (ICSS) Algorithm of Inclan and Tiao (1994), and it checks for changes in the
unconditional variance of a time series controlling for the tail index of
the underlying distribution. The fourth order moment is estimated non-parametrically
to avoid the size problems when the innovations are non-Gaussian (see, Sansó et al., 2004).
Critical values and p-values are generated using a Generalized Extreme Value distribution approach.
References
Carrion-i-Silvestre J.J & Sansó A (2023) <https://www.ub.edu/irea/working_papers/2023/202309.pdf>.
Inclan C & Tiao G.C (1994) <doi:10.1080/01621459.1994.10476824>,
Sansó A & Aragó V & Carrion-i-Silvestre J.L (2004) <https://dspace.uib.es/xmlui/bitstream/handle/11201/152078/524035.pdf>.

Andreu Sansó

micss

Modified Iterative Cumulative Sum of Squares Algorithm

Josep Lluís Carrion-i-Silvestre

step2a function

<dl><dt>e</dt>
<dd>Stationary variable on which the constancy of unconditional variance is tested.</dd>
<dt>sig.lev</dt>
<dd>Significance level.</dd>
<dt>kmax</dt>
<dd>Maximum lag to be used for the long-run estimation of the fourth order moment of the innovations.</dd>
<dt>alpha</dt>
<dd>Tail index.</dd></dl>

Arguments

step2a — step2a

<dl>

<dt>e</dt>
<dd>Stationary variable on which the constancy of unconditional variance is tested.</dd>


<dt>sig.lev</dt>
<dd>Significance level.</dd>


<dt>kmax</dt>
<dd>Maximum lag to be used for the long-run estimation of the fourth order moment of the innovations.</dd>


<dt>alpha</dt>
<dd>Tail index.</dd>

</dl>

step2a: step2a

Description

Usage

Value

Arguments

Details

References