FitAR: UnitRootTest – R documentation

Become an expert in R — Interactive courses, Cheat Sheets, certificates and more!

UnitRootTest

Unit Root Test

Unit root test. Test H0: rho=1 vs. H1: rho<1 in the model model with intercept z[t] = const + rho*z[t-1] + a[t].

UnitRootTest(z, method = c("MLE", "ExactMLE", "LS", "All"), statistic = c("Z", "T"), NumBoot = 1000, PValueMethod = c("DH", "ET"))

`z`	time series
`method`	estimation methods
`statistic`	normalized rho or t-statistic
`NumBoot`	number of bootstrap iterations
`PValueMethod`	p-value can be estimated either as (k+1)/(N+1) as recommended by Davison and Hinkley (p. 148) or as k/N as in Efron and Tibsharini (p. 221, Algorithm 16.1 ).

Bootstrap unit root tests

one-sided P-value

A.I. McLeod

Davison, A.C. and Hinkley, D.V. (1997). Bootstrap Methods and their Application. Cambridge.

Efron, B. and Tibshirani, R. (1993). An Introduction to the Bootstrap. Chapman/Hall.

Yu, H., Zhang, Y. and McLeod, A.I. (2009). Unit Root Bootstrap Tests with Exact Maximum Likelihood.

## Not run: #takes about 10 seconds
z<-cumsum(rnorm(100))
UnitRootTest(z)

## End(Not run)

Subset AR Model Fitting

v1.94

GPL (>= 2)

Authors

A.I. McLeod, Ying Zhang and Changjiang Xu

Initial release

2013-03-15