supLMQur

The data provides asymptotic null critical
values for the unit root supLM test described in Cha24tseriesTARMA.
They are used with the following tests:<ul>
<li><code>TARMAur.test</code></li>
<li><code>TARMAur.test.B</code></li>
</ul>Provided <code>pb = 1- pa</code>.

datasets

Routines for nonlinear time series analysis based on Threshold Autoregressive Moving Average (TARMA) models. It provides functions and methods for: TARMA model fitting and forecasting, including robust estimators, see Goracci et al. JBES (2025) <doi:10.1080/07350015.2024.2412011>; tests for threshold effects, see Giannerini et al. JoE (2024) <doi:10.1016/j.jeconom.2023.01.004>, Goracci et al. Statistica Sinica (2023) <doi:10.5705/ss.202021.0120>, Angelini et al. (2024) OBES <doi:10.1111/obes.12647>; unit-root tests based on TARMA models, see Chan et al. Statistica Sinica (2024) <doi:10.5705/ss.202022.0125>.

Simone Giannerini

tseriesTARMA

Analysis of Nonlinear Time Series Through Threshold
Autoregressive Moving Average Models (TARMA) Models

Greta Goracci

supLMQur function

<div class="section" id="suplmqur">
<h3><code>supLMQur</code></h3>
A 4-dimensional array that contains 4 critical values (at level 10%, 5%, 1%, 0.1%)
for each combination of<dl>
<dt><code>pa</code></dt>
<dd>Lower bound for the threshold range. From 0.01 to 0.4</dd><dt><code>th</code></dt>
<dd>MA(1) parameter.</dd><dt><code>n</code></dt>
<dd>Sample size.</dd>
</dl></div>

Format

The data provides asymptotic null critical
values for the unit root supLM test described in Cha24tseriesTARMA.
They are used with the following tests:<ul>
<li><code>TARMAur.test</code></li>
<li><code>TARMAur.test.B</code></li>
</ul>

Provided <code>pb = 1- pa</code>.

Tabulated Critical Values for the Unit Root IMA vs TARMA test — supLMQur

<div class='section' id='suplmqur'>
<h3><code>supLMQur</code></h3>


A 4-dimensional array that contains 4 critical values (at level 10%, 5%, 1%, 0.1%)
for each combination of<dl>
<dt><code>pa</code></dt>
<dd>Lower bound for the threshold range. From 0.01 to 0.4</dd>

<dt><code>th</code></dt>
<dd>MA(1) parameter.</dd>

<dt><code>n</code></dt>
<dd>Sample size.</dd>


</dl>

</div>

supLMQur: Tabulated Critical Values for the Unit Root IMA vs TARMA test

Description

Usage

Arguments

Format

`supLMQur`